Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns
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Publication:1936559
DOI10.1007/s13385-011-0038-9zbMath1268.91082OpenAlexW2008680846MaRDI QIDQ1936559
Publication date: 6 February 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-011-0038-9
asymptotic approximationSolvency IICVaRVaRSparre Andersen risk modelgeometric Lévy stochastic returnsregularly varying claim sizesub-exponential claim size
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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