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

DOI10.1016/0167-6687(88)90106-0zbMath0683.62059MaRDI QIDQ1824975

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

inflation; compound Poisson process; interest; surplus processes; classical and present value risk; equal integrability; macro-economic factors

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G44: Martingales with continuous parameter

Related Items

Moment generating functions of compound renewal sums with discounted claims, Moment generating functions of compound renewal sums with discounted claims, The construction of a quadratic predictor of the discounted renewal claims with dependence, Delay in claim settlement, Ruin estimates under interest force, Covariance of discounted compound renewal sums with a stochastic interest rate, UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS, Macro-economic influences on the crossing of dividend barriers, The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding, Ruin probabilities in the presence of heavy-tails and interest rates

Cites Work

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