scientific article

Cecil J. Nesbitt, Newton L. jun. Bowers, James C. Hickman, Hans U. Gerber, Donald A. Jones

Publication date: 1986

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

life insurance single period benefits dividends life tables life annuities expenses reserves survival distributions pension funding population theory collective risk models individual risk models multiple decrement models net premiums applications of risk theory extended period multiple life functions valuation theory for pension plans

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

Related Items (only showing first 100 items - show all)

Stochastic models for life contingencies ⋮ An elementary derivation of Hattendorff's theorem ⋮ The conditional Haezendonck-Goovaerts risk measure ⋮ Decrement rates and a numerical method under competing risks ⋮ Asymptotic properties for distributions and densities of extremes from generalized gamma distribution ⋮ Equilibria in a mixed financial-reinsurance market with constrained trading possibilities ⋮ Optimal reinsurance/investment problems for general insurance models ⋮ Refinements and distributional generalizations of Lundberg's inequality ⋮ Closed-form solutions for guaranteed minimum accumulation and death benefits ⋮ On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy ⋮ Lifetime investment and consumption using a defined-contribution pension scheme ⋮ An improvement to the convolution method of calculating \(\psi\) (u) ⋮ Yields on lottery bonds ⋮ Hermite learning with gradient data ⋮ Demand and adverse selection in a pooled annuity fund ⋮ Asymptotic analysis of an individual risk model with random insurance premiums ⋮ On survival assumptions between integer ages in the theory of competing risks ⋮ A simple compound scan statistic useful for modeling insurance and risk management problems ⋮ On approximations to generalized Poisson distributions ⋮ Calculation of the probability of eventual ruin by Beekman's convolution series ⋮ On the relationship between bounds on the tails of compound distributions ⋮ Markov models and Thiele's integral equations for the prospective reserve ⋮ Application of mixture models to approximation of age-at-death distribution ⋮ Controlled diffusion models for optimal dividend pay-out ⋮ Actuarial bridges to dynamic hedging and option pricing ⋮ The effect of interest on negative surplus ⋮ Bayesian graduation of mortality rates: an application to reserve evaluation ⋮ Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure ⋮ Unifying framework for optimal insurance ⋮ Optimal reinsurance under convex principles of premium calculation ⋮ Optimal premium pricing for a heterogeneous portfolio of insurance risks ⋮ Pricing equity-indexed annuities under stochastic interest rates using copulas ⋮ Optimal insurance strategies in a risk process with restrictions on policyholder risks ⋮ Managing longevity and disability risks in life annuities with long term care ⋮ Insurance pricing with complete information, state-dependent utility, and production costs ⋮ A note on order statistics in the mixed Erlang case ⋮ On the expected discounted penalty function for the compound Poisson risk model with delayed claims ⋮ Ruin problems for an autoregressive risk model with dependent rates of interest ⋮ Distribution-free comparison of pricing principles. ⋮ Bivariate analysis of survivorship and persistency ⋮ On the accumulated aggregate surplus of a life portfolio. ⋮ Modeling claim exceedances over thresholds. ⋮ A multiple state model for the analysis of permanent health insurance claims by cause of disability. ⋮ Weak convergence of random growth processes with applications to insurance ⋮ Interest and mortality randomness in some annuities ⋮ Mathematical models for insurance business optimization ⋮ Exponential bounds for ruin probability in two moving average risk models with constant interest rate ⋮ Optimal dividend and investing control of an insurance company with higher solvency constraints ⋮ A class of multivariate copulas with bivariate Fréchet marginal copulas ⋮ On the pricing of longevity-linked securities ⋮ The optimal reinsurance strategy -- the individual claim case ⋮ On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities ⋮ Biometric worst-case scenarios for multi-state life insurance policies ⋮ Decision principles derived from risk measures ⋮ The probability of ruin in a process with dependent increments ⋮ Bounds on stop-loss premiums and ruin probabilities ⋮ Valuation of life insurance products under stochastic interest rates ⋮ Extra randomness in certain annuity models ⋮ Analysis of economic burden of seasonal influenza: an actuarial based conceptual model ⋮ Geometric stopping of a random walk and its applications to valuing equity-linked death benefits ⋮ Modeling mortality and pricing life annuities with Lévy processes ⋮ A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion ⋮ Parametric survival densities from phase-type models ⋮ On a multivariate gamma distribution ⋮ A dynamic reinsurance theory ⋮ A Bayesian analysis of a simultaneous equations model for insurance rate-making ⋮ Ruin probabilities in the compound binomial model ⋮ Ordering of risks in life insurance ⋮ On the probability of ruin for infinitely divisible claim amount distributions ⋮ A model for open populations subject to periodical re-classifications ⋮ Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium ⋮ Tail bounds for the distribution of the deficit in the renewal risk model ⋮ Asset proportions in optimal portfolios with dependent default risks ⋮ Optimal risk management in defined benefit stochastic pension funds ⋮ Dependence structures of multivariate Bernoulli random vectors ⋮ A time-series risk model with constant interest for dependent classes of business ⋮ Approximations for the moments of ruin time in the compound Poisson model ⋮ A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension ⋮ Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio ⋮ A sensitivity analysis of typical life insurance contracts with respect to the technical basis ⋮ Valuation of contingent claims with mortality and interest rate risks ⋮ Asymptotic results for heavy-tailed distributions using defective renewal equations ⋮ Properties of the Esscher premium calculation principle ⋮ Ruin probability by operational calculus ⋮ Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality ⋮ Pricing insurance contracts -- an economic viewpoint ⋮ `Finem Lauda' or the risks in swaps ⋮ Asymptotic estimates of insurance tarifs in the individual risk model ⋮ Risk theory for the compound Poisson process that is perturbed by diffusion ⋮ Rational ruin problems - a note for the teacher ⋮ Annuitization and asset allocation ⋮ Optimization of risk bearing in a statistical model with reinsurance ⋮ Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates ⋮ A series for infinite time ruin probabilities ⋮ A remark on the moments of ruin time in classical risk theory ⋮ Annuity distributions. A new class of compound Poisson distributions ⋮ Bounds on compound distributions and stop-loss premiums ⋮ How to (and how not to) compute stop-loss premiums in practice ⋮ Multinomial model for random sums ⋮ Optimal stopping behavior of equity-linked investment products with regime switching

This page was built for publication: