Diffusion premiums for claim severities subject to inflation (Q1110973): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Weak convergence of assets processes with stochastic interest return / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3878440 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Classical risk theory in an economic environment / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3738451 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q3868650 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Ruin problems with compounding assets / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Diffusion approximations in collective risk theory / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: On the probability of ruin of risk processes approximated by a diffusion process / rank | |||
Normal rank | |||
Latest revision as of 19:37, 18 June 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)
0 references
1988
0 references
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).
0 references
weak convergence
0 references
stochastic differential equations
0 references
claim process
0 references
discounting
0 references
risk loading
0 references
diffusion model
0 references
aggregate claims
0 references
inflation
0 references
interest
0 references
Analytical formulas
0 references
premium principles
0 references
stop-loss premiums
0 references
