Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns

DOI10.1007/s13385-011-0038-9zbMath1268.91082MaRDI QIDQ1936559

Werner Hürlimann

Publication date: 6 February 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-011-0038-9

zbMATH Keywords

asymptotic approximation; Solvency II; CVaR; VaR; Sparre Andersen risk model; geometric Lévy stochastic returns; regularly varying claim size; sub-exponential claim size

Mathematics Subject Classification ID

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

60H30: Applications of stochastic analysis (to PDEs, etc.)

Cites Work

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