An adaptive premium policy with a Bayesian motivation in the classical risk model

DOI10.1016/J.INSMATHECO.2012.06.001MaRDI QIDQ2445348zbMATH OpenOpenAlexFDO

Authors David Landriault, Christiane Lemieux, Gordon E. Willmot

Publication date 14 April 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.06.001

zbMATH Keywords

Laplace transformruin probabilityErlangizationmixed Erlangmixed Poissondefective renewal equation

Mathematics Subject Classification ID

Recommendations

• A risk model with varying premiums: its risk management implications
• Risk models with premiums adjusted to claims number
• Adaptive control strategies and dependence of finite time ruin on the premium loading
• On the risk of credibility premium rules
• On a modification of the classical risk process

Cites work

• scientific article; zbMATH DE number 1257656 (Why is no real title available?)
• A risk model with multilayer dividend strategy
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Explicit ruin formulas for models with dependence among risks
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Loss Models
• Lundberg approximations for compound distributions with insurance applications
• Lundberg bounds on the tails of compound distributions
• Matrix Analysis
• On Posterior Probabilities and Moments in Mixed Poisson Processes
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• On the Time Value of Ruin
• On the class of Erlang mixtures with risk theoretic applications
• On the joint distributions of the time to ruin, the surplus prior to ruin, and the deficit at ruin in the classical risk model
• On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
• Randomization and the American put
• Risk theory insight into a zone-adaptive control strategy
• Ruin probabilities
• Strategies for dividend distribution: a review
• The Density of the Time to Ruin in the Classical Poisson Risk Model
• The compound Poisson risk model with multiple thresholds
• Univariate Discrete Distributions

Cited in

(9)

• A risk model with varying premiums: its risk management implications
• Premium adjustment by generalized adaptive exponential smoothing
• An optimization approach to adaptive multi-dimensional capital management
• On the ruin probability of a generalized Cramér–Lundberg model driven by mixed Poisson processes
• A survey of personalized treatment models for pricing strategies in insurance
• Adaptive control strategies and dependence of finite time ruin on the premium loading
• Optimal time to change premiums
• Risk theory insight into a zone-adaptive control strategy
• Risk models with premiums adjusted to claims number

This page was built for publication: An adaptive premium policy with a Bayesian motivation in the classical risk model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2445348)