Diffusion premiums for claim severities subject to inflation (Q1110973): Difference between revisions
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Revision as of 00:45, 21 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Diffusion premiums for claim severities subject to inflation |
scientific article |
Statements
Diffusion premiums for claim severities subject to inflation (English)
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1988
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A diffusion model for the aggregate claims which takes into account inflation and interest is described. Analytical formulas are then derived from it for premiums under different premium principles (including stop- loss premiums).
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weak convergence
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stochastic differential equations
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claim process
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discounting
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risk loading
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diffusion model
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aggregate claims
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inflation
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interest
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Analytical formulas
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premium principles
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stop-loss premiums
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