Mathematical methods in risk theory
This is a text-book on the mathematics of the part of actuarial science that is called risk theory. Its author ``attempts to create a synthesis out of a selection \dots of modern scientific publications in the field of actuarial mathematics, with the goal of presenting a unified system of thought in replacement of existing fragmented contributions. He has also added new results of his own. The presentation is genuinely probabilistic throughout. It is on the intermediate mathematical level (no measure theory), and the ``elements of probability theory which will be necessary for the subsequent developement are recalled [in Chapter 1] for the reader who is moderately familiar with this type of mathematics. There are parts of the book, however, which must surely require a greater mastery of mathematics than is acquired through actuarial studies in most countries. -- The meat of the theory is presented in five chapters. It starts with an account of the risk process which is quite general and where the usual compound Poisson process appears as a special case. The author then goes on to explain his ``Bayesian philosophy where each risk is regarded as a realisation of a random element from a collective, described by a structure function \(U(\cdot)\). (Others have called this the approach of ``varying (or fluctuating) basic probabilities, and it has been invented to account for he essential heterogeneity of risk portfolios.) In a subsequent chapter, four principles of premium calculation (the expected value principle, the standard deviation principle, the variance principle, and the principle of zero utility) are introduced, and we get a wholly original formulation of credibility theory, based on the variance principle. The next chapter is devoted to retentions and reserves, and it mainly treats the relative retention problem in individual quota and excess of loss reinsurancec. The final chapter covers operational problems of the risk carrier in four main subchapters. There is an account of the probability of ruin and of the solution of the absolute retention problem when the ruin probability is used as the insurance carrier's stability criterion. One finds a subchapter on the dividend policy as the stability criterion. Finally, there is a subchapter on utility theory. The first half of the latter is devoted to an axiomatic introduction to utility, and the second half covers Borch's fundamental theorem on reciprocal reinsurance treaties, as well as price structures with quadratic utility kernels. By intention, the author has left statistical methods (almost) completely out of account, nor does he include numerical methods. Thus, one finds nothing on the Edgeworth expansion, the Esscher approximation, the normal power expansion, and the like. One misses some of the existing reinsurance theory which seems to fit within the framework of the book, notably certain results due to Borsch and Kahn, to Vajda and to 0hlin. -- The author gives one numerical example, some exercises are included in each chapter, and there is an index of key-words.
- To split or not to split: Capital allocation with convex risk measures
- On a dual model with a dividend threshold
- Nonparametric confidence intervals for population variance of one sample and the difference of variances of two samples
- Optimal reinsurance with general risk measures
- Optimal dividends in the Brownian motion risk model with interest
- Semi-parametric specification tests for mixing distributions
- Optimal investment policy of an insurance firm
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- On risk processes with the Markov property and with independent increments
- Limit distributions for risk processes in case of claim amounts of finite expectation
- On convex principles of premium calculation
- Properties of premium calculation principles
- Risk theory and serendipity
- On the small risk approximation
- The submartingale assumption in risk theory
- Recursive calculation of finite-time ruin probabilities
- Joint insurance and capitalization costs
- Calculation of the maximum retentions in XL reinsurance
- Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
- Entwicklungstendenzen in der Risikotheorie. (Trends in risk theory)
- A managerial approach to risk theory: Some suggestions from the theory of financial desicions
- Perturbation calculus in risk theory: Application to chains and trees of reinsurance
- On optimal dividend payments and related problems
- Ordering of risks: a review
- Invariantly recursive credibility estimation
- A recourse certainty equivalent for decisions under uncertainty
- A new approach for loaded credibility premiums
- Insurance-investment: Diffusion analysis
- Limiting tail behaviour of some discrete compound distributions
- Decision theoretic foundations of credibility theory
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Applications to risk theory of a Monte Carlo multiple integration method.
- Comparing risks with unbounded distributions
- A stop-loss experience rating scheme for fleets of cars. II
- Trend analysis and prediction procedures for time nonhomogeneous claim processes
- Duality and equilibrium prices in economics of uncertainty
- Controlled diffusion models for optimal dividend pay-out
- On a gamma series expansion for the time-dependent probability of collective ruin
- Stochastic control of funding systems.
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
- Semiparametric credibility ratemaking using a piecewise linear prior.
- Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
- The discrete-time risk model with correlated classes of business
- Credibility using semiparametric models and a loss function with a constancy penalty
- Insurer's optimal reinsurance strategies
- Asset-liability management for long-term insurance business
- Insurance choice under third degree stochastic dominance
- Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
- Life tables in actuarial models: from the deterministic setting to a Bayesian approach
- On functional equations stemming from actuarial mathematics
- Wanting robustness in insurance: a model of catastrophe risk pricing and its empirical test
- On optimal dividends with penalty payments in the Cramér-Lundberg model
- Robust return risk measures
- Risk aggregation based on the Poisson INAR(1) process with periodic structure
- Defensive medicine, liability insurance and malpractice litigation in an evolutionary model
- Extension problem for principles of equivalent utility
- Using fuzzy logic to interpret dependent risks
- Optimal dividends under Erlang(2) inter-dividend decision times
- On existence and uniqueness of the principle of equivalent utility under cumulative prospect theory
- Large deviations for generalized compound Poisson risk models and its bankruptcy moments
- On the estimation of the adjustment coefficient in risk theory by means of stochastic approximation procedures
- On optimal parameter estimation in credibility
- Analytical best upper bounds on stop-loss premiums
- Simulation methods in ruin models with nonlinear dividend barriers.
- Sharp bounds for \(L\)-statistics from dependent samples of random length
- Ruin estimates under interest force
- Conditions for balance between survival and ruin
- Optimal dividends and ALM under unhedgeable risk
- Dividend problems in the dual risk model
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Law-invariant functionals that collapse to the mean
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
- Reference points and learning
- Characterization of positive homogeneity for the principle of equivalent utility
- Law-invariant functionals that collapse to the mean: beyond convexity
- Fair estimation of capital risk allocation
- A fully nonlinear free boundary problem for minimizing the ruin probability
- On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory
- Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure
- On the optimality of joint periodic and extraordinary dividend strategies
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Optimal investment and contingent claim valuation in illiquid markets
- Risk models based on time series for count random variables
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
- Ruin and deficit under claim arrivals with the order statistics property
- Robust analysis for premium-reserve models in a stochastic nonlinear discrete-time varying framework
- Dividend payments in a perturbed compound Poisson model with stochastic investment and debit interest
- Optimal dividends with an affine penalty
- The perturbed dual risk model with constant interest and a threshold dividend strategy
- General dual measures of riskiness
- Risk diversifying treaty between two companies with only one in insurance business
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- The fundamental theorem of mutual insurance
- Discounted dividends in a strategy with a step barrier function
- Lundberg's risk process with tax
- Characterization of acceptance sets for co-monotone risk measures
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