Alarm system for insurance companies: a strategy for capital allocation

DOI10.1016/j.insmatheco.2012.02.009zbMath1284.91223arXiv1006.5473OpenAlexW2015967254MaRDI QIDQ2444706

Yanyan Li

Publication date: 10 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.5473

zbMATH Keywords

risk processruin probabilitycapital allocationalarm systemquantitative risk managementcapital accumulation function

Mathematics Subject Classification ID

Related Items (4)

RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS ⋮ On branching models with alarm triggerings ⋮ On the evaluation of finite-time ruin probabilities in a dependent risk model ⋮ On finite-time ruin probabilities in a generalized dual risk model with dependence

Cites Work

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• Excess of loss reinsurance under joint survival optimality
• Model processes in nonlinear prediction with application to detection and alarm
• Non-life insurance mathematics. An introduction with stochastic processes.
• Two-Sided Bounds for the Finite Time Probability of Ruin
• A finite-time ruin probability formula for continuous claim severities
• Optimal Alarm Systems for Count Processes

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