Classical risk theory in an economic environment (Q1091069): Difference between revisions

In classical risk theory, interest is ignored. This comprehensive paper gives a general description of the classical risk process when interest and inflation are taken into account. Their effects on bounds on ruin probabilities are studied.

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zbMATH Keywords

influence of macro-economic factors

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surplus process

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martingale

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renewal theory

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premium calculation principles

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Lundberg and Gerber bound

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classical adjustment coefficient

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classical risk process

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interest

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inflation

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bounds on ruin probabilities

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reviewed by

Elias S. W. Shiu

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/0167-6687(87)90019-9

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cites work

Martingales and insurance risk

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Inversed martingales in risk theory

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Martingales in Markov processes applied to risk theory

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Q4404211

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Q3868650

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Q3314810

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Ruin problems with compounding assets

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Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità

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Q3742579

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The submartingale assumption in risk theory

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Q5509983

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Identifiers

zbMATH Open document ID

0622.62098

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DOI

10.1016/0167-6687(87)90019-9

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1091069

@@ Property / author @@
-Freddy Delbaen
@@ Property / author: Freddy Delbaen / rank @@
-Normal rank
@@ Property / reviewed by @@
-Elias S. W. Shiu
@@ Property / reviewed by: Elias S. W. Shiu / rank @@
-Normal rank
@@ Property / author @@
+Freddy Delbaen
@@ Property / author: Freddy Delbaen / rank @@
+Normal rank
@@ Property / reviewed by @@
+Elias S. W. Shiu
@@ Property / reviewed by: Elias S. W. Shiu / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/0167-6687(87)90019-9
+Normal rank
@@ Property / OpenAlex ID @@
+W2076544343
@@ Property / OpenAlex ID: W2076544343 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and insurance risk
@@ Property / cites work: Martingales and insurance risk / rank @@
+Normal rank
@@ Property / cites work @@
+Inversed martingales in risk theory
@@ Property / cites work: Inversed martingales in risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales in Markov processes applied to risk theory
+Normal rank
@@ Property / cites work @@
+Q4404211
@@ Property / cites work: Q4404211 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3868650
@@ Property / cites work: Q3868650 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3314810
@@ Property / cites work: Q3314810 / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin problems with compounding assets
@@ Property / cites work: Ruin problems with compounding assets / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità
+Normal rank
@@ Property / cites work @@
+Q3742579
@@ Property / cites work: Q3742579 / rank @@
+Normal rank
@@ Property / cites work @@
+The submartingale assumption in risk theory
@@ Property / cites work: The submartingale assumption in risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Q5509983
@@ Property / cites work: Q5509983 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1091069