Extended reduced-form framework for non-life insurance

DOI10.1017/APR.2021.60zbMath1505.91321arXiv1802.07741OpenAlexW3126015154MaRDI QIDQ5055334

Yinglin Zhang, Francesca Biagini

Publication date: 13 December 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.07741

zbMATH Keywords

marked point processrisk mitigationnon-life insurancemarket-consistent valuationbenchmark approachreduced-form frameworkfiltration dependence

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40) Actuarial mathematics (91G05)

Cites Work

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