A heavy traffic approach to modeling large life insurance portfolios

DOI10.1016/J.INSMATHECO.2013.04.011zbMATH Open1284.91513OpenAlexW2083710508MaRDI QIDQ2446005FDOQ2446005

Authors: Jose Blanchet, Henry Lam 

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

Recommendations

• Level premiums model for portfolio of life insurance policies with stochastic interest rate
• Risk aggregation and stochastic claims reserving in disability insurance
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
• The premium and the risk of a life policy in the presence of interest rate fluctuations
• A new risk model based on policy entrance process and its weak convergence properties

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Ruin probabilities
• Uniform Central Limit Theorems
• Stochastic-Process Limits
• The \(G/GI/N\) queue in the Halfin-Whitt regime
• SPDE limits of many-server queues
• Many-server diffusion limits for \(G/Ph/n+GI\) queues
• Heavy-Traffic Limits for Queues with Many Exponential Servers
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Extremes of Gaussian processes over an infinite horizon
• Title not available (Why is that?)
• Extremes of a certain class of Gaussian processes
• Diffusion approximations in collective risk theory
• Big queues.
• Two-parameter heavy-traffic limits for infinite-server queues
• The multiclass GI/PH/N queue in the Halfin-Whitt regime
• Large Deviations for Gaussian Queues
• A functional central limit theorem for the \(M/GI/\infty \) queue
• Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes

Cited In (2)

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

This page was built for publication: A heavy traffic approach to modeling large life insurance portfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2446005)