On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading (Q6173893): Difference between revisions

Latest revision as of 18:19, 1 August 2024

scientific article; zbMATH DE number 7712311

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English	On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading	scientific article; zbMATH DE number 7712311

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instance of

scholarly article

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title

On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading (English)

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zbMATH Open document ID

1520.91328

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DOI

10.1007/s13385-022-00326-0

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European Actuarial Journal

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publication date

13 July 2023

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Mathematics Subject Classification ID

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MaRDI publication profile

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Wikidata QID

Q114219859

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cites work

RATEMAKING OF DEPENDENT RISKS

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Risk theory in a Markovian environment

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Q3560912

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Portfolio size as function of the premium: modelling and optimization

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Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market

0 references

Q2890526

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Optimal control and dependence modeling of insurance portfolios with Lévy dynamics

0 references

Modeling and Comparing Dependencies in Multivariate Risk Portfolios

0 references

Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles

0 references

Optimal reinsurance with positively dependent risks

0 references

Optimal reinsurance-investment strategy for a dynamic contagion claim model

0 references

Optimal control of investment, premium and deductible for a non-life insurance company

0 references

Financial Modelling with Jump Processes

0 references

The discrete-time risk model with correlated classes of business

0 references

Q3228986

0 references

Dependent risks and excess of loss reinsurance

0 references

Insurance Risk and Ruin

0 references

Q4452862

0 references

Competition among non-life insurers under solvency constraints: a game-theoretic approach

0 references

Q2771732

0 references

Dynamic Pricing of General Insurance in a Competitive Market

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RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS

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Economic Capital Allocations for Non-negative Portfolios of Dependent Risks

0 references

Aspects of risk theory

0 references

Ruin probabilities in Cox risk models with two dependent classes of business

0 references

Spectra of some self-exciting and mutually exciting point processes

0 references

Q4657106

0 references

Q3523756

0 references

A dynamic pricing game for general insurance market

0 references

Optimal dynamic reinsurance with dependent risks: variance premium principle

0 references

Optimal insurance design under background risk with dependence

0 references

On a Markovian game model for competitive insurance pricing

0 references

Pricing in a competitive stochastic insurance market

0 references

Non-Life Insurance Pricing with Generalized Linear Models

0 references

Insurance pricing with complete information, state-dependent utility, and production costs

0 references

Q5434181

0 references

Lévy Copulas: Review of Recent Results

0 references

Underwriting strategy in a competitive insurance environment

0 references

Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models

0 references

Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market

0 references

Optimal proportional reinsurance with common shock dependence

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6173893

@@ Property / cites work @@
+RATEMAKING OF DEPENDENT RISKS
@@ Property / cites work: RATEMAKING OF DEPENDENT RISKS / rank @@
+Normal rank
@@ Property / cites work @@
+Risk theory in a Markovian environment
@@ Property / cites work: Risk theory in a Markovian environment / rank @@
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio size as function of the premium: modelling and optimization
+Normal rank
@@ Property / cites work @@
+Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market
+Normal rank
@@ Property / cites work @@
+Q2890526
@@ Property / cites work: Q2890526 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
+Normal rank
@@ Property / cites work @@
+Modeling and Comparing Dependencies in Multivariate Risk Portfolios
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance with positively dependent risks
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance-investment strategy for a dynamic contagion claim model
+Normal rank
@@ Property / cites work @@
+Optimal control of investment, premium and deductible for a non-life insurance company
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+The discrete-time risk model with correlated classes of business
+Normal rank
@@ Property / cites work @@
+Q3228986
@@ Property / cites work: Q3228986 / rank @@
+Normal rank
@@ Property / cites work @@
+Dependent risks and excess of loss reinsurance
@@ Property / cites work: Dependent risks and excess of loss reinsurance / rank @@
+Normal rank
@@ Property / cites work @@
+Insurance Risk and Ruin
@@ Property / cites work: Insurance Risk and Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+Q4452862
@@ Property / cites work: Q4452862 / rank @@
+Normal rank
@@ Property / cites work @@
+Competition among non-life insurers under solvency constraints: a game-theoretic approach
+Normal rank
@@ Property / cites work @@
+Q2771732
@@ Property / cites work: Q2771732 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Pricing of General Insurance in a Competitive Market
+Normal rank
@@ Property / cites work @@
+RUIN PROBABILITIES FOR A MULTIDIMENSIONAL RISK MODEL WITH NON-STATIONARY ARRIVALS AND SUBEXPONENTIAL CLAIMS
+Normal rank
@@ Property / cites work @@
+Economic Capital Allocations for Non-negative Portfolios of Dependent Risks
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probabilities in Cox risk models with two dependent classes of business
+Normal rank
@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+Q4657106
@@ Property / cites work: Q4657106 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3523756
@@ Property / cites work: Q3523756 / rank @@
+Normal rank
@@ Property / cites work @@
+A dynamic pricing game for general insurance market
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance with dependent risks: variance premium principle
+Normal rank
@@ Property / cites work @@
+Optimal insurance design under background risk with dependence
+Normal rank
@@ Property / cites work @@
+On a Markovian game model for competitive insurance pricing
+Normal rank
@@ Property / cites work @@
+Pricing in a competitive stochastic insurance market
+Normal rank
@@ Property / cites work @@
+Non-Life Insurance Pricing with Generalized Linear Models
+Normal rank
@@ Property / cites work @@
+Insurance pricing with complete information, state-dependent utility, and production costs
+Normal rank
@@ Property / cites work @@
+Q5434181
@@ Property / cites work: Q5434181 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy Copulas: Review of Recent Results
@@ Property / cites work: Lévy Copulas: Review of Recent Results / rank @@
+Normal rank
@@ Property / cites work @@
+Underwriting strategy in a competitive insurance environment
+Normal rank
@@ Property / cites work @@
+Uniform Asymptotics for Discounted Aggregate Claims in Dependent Risk Models
+Normal rank
@@ Property / cites work @@
+Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance with common shock dependence
+Normal rank