Limit theorems for the present value of the surplus of an insurance portfolio

DOI10.1016/0167-6687(88)90106-0MaRDI QIDQ1824975zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

interestinflationcompound Poisson processsurplus processesclassical and present value riskequal integrabilitymacro-economic factors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Cites work

• Classical risk theory in an economic environment
• Point processes and queues. Martingale dynamics
• Ruin problems with compounding assets
• Upper bounds on ruin probabilities in case of negative loadings and positive interest rates

Cited in

(13)

• A note on Mossin’s theorem for deductible insurance given random initial wealth
• Macro-economic influences on the crossing of dividend barriers
• scientific article; zbMATH DE number 1116649 (Why is no real title available?)
• 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

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