Diffusion premiums for claim severities subject to inflation
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Publication:1110973
DOI10.1016/0167-6687(88)90105-9zbMath0657.62120MaRDI QIDQ1110973
Publication date: 1988
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(88)90105-9
weak convergence; stochastic differential equations; inflation; discounting; diffusion model; interest; premium principles; aggregate claims; stop-loss premiums; claim process; risk loading; Analytical formulas
62P05: Applications of statistics to actuarial sciences and financial mathematics
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