Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (Q1936559): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 06:16, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns |
scientific article |
Statements
Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (English)
0 references
6 February 2013
0 references
Sparre Andersen risk model
0 references
geometric Lévy stochastic returns
0 references
VaR
0 references
CVaR
0 references
regularly varying claim size
0 references
sub-exponential claim size
0 references
asymptotic approximation
0 references
Solvency II
0 references