Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (Q1936559): Difference between revisions

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Latest revision as of 05:00, 6 July 2024

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Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns
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    Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (English)
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    6 February 2013
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    Sparre Andersen risk model
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    geometric Lévy stochastic returns
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    VaR
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    CVaR
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    regularly varying claim size
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    sub-exponential claim size
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    asymptotic approximation
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    Solvency II
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