A heavy traffic approach to modeling large life insurance portfolios

DOI10.1016/j.insmatheco.2013.04.011zbMath1284.91513OpenAlexW2083710508MaRDI QIDQ2446005

Henry Lam, Jose H. Blanchet

Publication date: 15 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.04.011

Mathematics Subject Classification ID

Gaussian processes (60G15) Queueing theory (aspects of probability theory) (60K25) Traffic problems in operations research (90B20) Portfolio theory (91G10)

Related Items

Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process, Diffusion approximations for insurance risk processes

Cites Work

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