An adaptive premium policy with a Bayesian motivation in the classical risk model
From MaRDI portal
Publication:2445348
DOI10.1016/j.insmatheco.2012.06.001zbMath1284.91246MaRDI QIDQ2445348
Christiane Lemieux, David Landriault, Gordon E. Willmot
Publication date: 14 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.06.001
Laplace transform; ruin probability; Erlangization; mixed Erlang; mixed Poisson; defective renewal equation
Related Items
On the ruin probability of a generalized Cramér–Lundberg model driven by mixed Poisson processes, An optimization approach to adaptive multi-dimensional capital management, A risk model with varying premiums: its risk management implications, A survey of personalized treatment models for pricing strategies in insurance
Cites Work
- Unnamed Item
- Unnamed Item
- Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
- On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
- The compound Poisson risk model with multiple thresholds
- Risk theory insight into a zone-adaptive control strategy
- Lundberg approximations for compound distributions with insurance applications
- Explicit ruin formulas for models with dependence among risks
- On Posterior Probabilities and Moments in Mixed Poisson Processes
- Matrix Analysis
- Lundberg bounds on the tails of compound distributions
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- A Risk Model with Multilayer Dividend Strategy
- On the Class of Erlang Mixtures with Risk Theoretic Applications
- Strategies for Dividend Distribution: A Review
- On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
- Randomization and the American Put
- The Density of the Time to Ruin in the Classical Poisson Risk Model
- Univariate Discrete Distributions
- On the Moments of the Time of Ruin with Applications to Phase-Type Claims
- On the Time Value of Ruin
- Loss Models
