A stochastic approach to insurance cycles

DOI10.1016/0167-6687(92)90046-EzbMath0760.62095OpenAlexW2035708497MaRDI QIDQ1205677

Marc J. Goovaerts, Rob Kaas, F. Etienne De Vylder

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90046-e

zbMATH Keywords

path integralanalytical expressions for solvency marginseffect of cyclic behavioreffects of pure solvencyequalization reservesinsurance cyclessolvency of insurersunderwriting cycles

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Special processes (60K99)

Related Items

A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results, Evaluation techniques for distributions arising from stochastic processes defined from a lagrangian, The Theory of Optimal Stochastic Control as Applied to Insurance Underwriting Cycles, Stochastic processes defined from a Lagrangian, Interest randomness in annuities certain, The Laplace transform of annuities certain with exponential time distribution, Remarks on the methodology introduced by Goovaerts et al, Boundary crossing result for the brownian motion

Cites Work

• Interest and mortality randomness in some annuities
• The analytical evaluation of one-dimensional Gaussian path-integrals
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