Risk minimization with inflation and interest rate risk: applications to non-life insurance

DOI10.1080/03461230802281047zbMath1224.91177OpenAlexW2021204578MaRDI QIDQ3077731

Jérôme Barbarin, Tanguy de Launois, Pierre Devolder

Publication date: 22 February 2011

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

Full work available at URL: https://doi.org/10.1080/03461230802281047

zbMATH Keywords

marked point processrisk minimizationinflation risknon-life insurancebeta-Stacy processALM

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

Extended reduced-form framework for non-life insurance

Cites Work

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• Nonparametric Bayes estimators based on beta processes in models for life history data
• Beta-stacy processes and a generalization of the Pólya-Urn scheme
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• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal investment strategy for a non-life insurance company: quadratic loss
• Optimal investment for insurers
• Risk-minimizing hedging strategies for insurance payment processes

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