Limit theorems for the present value of the surplus of an insurance portfolio
DOI10.1016/0167-6687(88)90106-0zbMATH Open0683.62059OpenAlexW1995616552MaRDI QIDQ1824975FDOQ1824975
Authors: P. Boogaert, J. Haezendonck, Freddy Delbaen 
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)90106-0
interestinflationcompound Poisson processsurplus processesclassical and present value riskequal integrabilitymacro-economic factors
Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)
Cites Work
Cited In (13)
- Title not available (Why is that?)
- Ruin probabilities in the presence of heavy-tails and interest rates
- The construction of a quadratic predictor of the discounted renewal claims with dependence
- Covariance of discounted compound renewal sums with a stochastic interest rate
- Barrier present value maximization for a diffusion model of insurance surplus
- Delay in claim settlement
- Gerber-Shiu analysis with a generalized penalty function.
- UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
- Ruin estimates under interest force
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Moment generating functions of compound renewal sums with discounted claims
- A note on Mossin’s theorem for deductible insurance given random initial wealth
- Macro-economic influences on the crossing of dividend barriers
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