Risk comparisons of premium rules: Optimality and a life insurance study
From MaRDI portal
Publication:1413402
DOI10.1016/S0167-6687(02)00208-1zbMath1024.62040OpenAlexW2029679474MaRDI QIDQ1413402
Jakob R. Møller, Soren Asmussen
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00208-1
large deviationsadjustment coefficientshot noiseconvex orderinglife annuitiesdelayed claimsGompertz-Makeham lawfirst order basisloading premiumthird order basiswhole life insurance
Related Items
A closed-form expression for the quantile function of the Gompertz-Makeham distribution ⋮ Parametric expectile regression and its application for premium calculation ⋮ Estimation of parameters of the Makeham distribution using the least squares method
Cites Work
- Tail probabilities for \(M/G/\infty\) input processes. I: Preliminary asymptotics
- Differential equations for moments of present values in life insurance
- A theory of bonus life insurance
- Martingales in life insurance
- A stochastic theory of life insurance
- Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
- An insensitivity property of Lundberg's estimate for delayed claims
- Large deviations and overflow probabilities for the general single-server queue, with applications
- Prediction of shot noise
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
