scientific article; zbMATH DE number 4032883

MaRDI QIDQ3773148zbMATH OpenFDO

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

Publication date 1986

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(only showing first 100 items - show all)

Asymptotic results for heavy-tailed distributions using defective renewal equations
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
Bounds on compound distributions and stop-loss premiums
Stochastic models for life contingencies
An improvement to the convolution method of calculating \(\psi\) (u)
Yields on lottery bonds
Calculation of the probability of eventual ruin by Beekman's convolution series
The probability of ruin in a process with dependent increments
Bounds on stop-loss premiums and ruin probabilities
Actuarial software
Extra randomness in certain annuity models
A dynamic reinsurance theory
Ordering of risks in life insurance
On the probability of ruin for infinitely divisible claim amount distributions
Properties of the Esscher premium calculation principle
Ruin probability by operational calculus
Pricing insurance contracts -- an economic viewpoint
Asymptotic estimates of insurance tarifs in the individual risk model
Annuity distributions. A new class of compound Poisson distributions
How to (and how not to) compute stop-loss premiums in practice
Equilibria in a mixed financial-reinsurance market with constrained trading possibilities
Refinements and distributional generalizations of Lundberg's inequality
Asymptotic analysis of an individual risk model with random insurance premiums
On approximations to generalized Poisson distributions
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
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.
Optimal asset allocation in life annuities: a note.
A critique of fractional age assumptions.
A solution to the ruin problem for Pareto distributions.
Properties of the power family of fractional age approximations.
How many claims does it take to get ruined and recovered?
Early surrender and the distribution of policy reserves
On the \(n\)th stop-loss transform order of ruin probability.
Risk comparisons of premium rules: Optimality and a life insurance study
Some results on ruin probabilities in a two-dimensional risk model.
Pricing equity-linked pure endowments via the principle of equivalent utility.
Moments of the cash value of future payment streams arising from life insurance contracts.
Analysis of heterogeneous endowment policies portfolios under fractional approximations.
Stochastic optimal control of annuity contracts.
Pricing and hedging guaranteed annuity options via static option replication.
Ruin probabilities based at claim instants for some non-Poisson claim processes
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Banach contraction principle and ruin probabilities in regime-switching models
On functional equations stemming from actuarial mathematics
Risk process with a periodic reinsurance: choosing an optimal reinsurance strategy of a total risk
Complete discounted cash flow valuation
Risk tomography
Extension problem for principles of equivalent utility
Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
On existence and uniqueness of the principle of equivalent utility under cumulative prospect theory
Asymptotic results for jump probabilities associated to the multiple scan statistic
A mathematical model of pension fund operation and methods of fund stability analysis
Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
Minimizing the probability of ruin: optimal per-loss reinsurance
Negative claim amounts, Bessel functions, linear programming and Miller's algorithm
Optimal reinsurance in relation to ordering of risks
The emergence of profit in life insurance
Asymptotic behavior of generalized risk processes
A note on multivariate stochastic comparisons of Bernoulli random variables
Actuarial models for pricing disability benefits: Towards a unifying approach
Estimating the adjustment coefficient in an ARMA\((p,q)\) risk model
Ordering claim size distributions and mixed Poisson probabilities
Taylor-series expansion for multivariate characteristics of classical risk processes
The compound Poisson approximation for a portfolio of dependent risks
Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
Optimizing insurance and reinsurance in the dynamic Cramér-Lundberg model
Optimal reinsurance under the Haezendonck risk measure
Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory
On life insurance reserves in a stochastic mortality and interest rates environment
Stochastic interest model based on compound Poisson process and applications in actuarial science
Survival probabilities in bivariate risk models, with application to reinsurance
Modeling future lifetime as a fuzzy random variable
Fair dynamic valuation of insurance liabilities via convex hedging
Equivalence principle and Jewell's inequality
Characterization of positive homogeneity for the principle of equivalent utility
Refundable income annuities: feasibility of money-back guarantees
Modelling of lung cancer survival data for critical illness insurances
On positive homogeneity and comonotonic additivity of the principle of equivalent utility under cumulative prospect theory
Is mortality or interest rate the most important risk in annuity models? A comparison of sensitivity analysis methods
Third party funding: the minimum claim value
Pareto-optimal insurance policies: the case of normal summary risk
Valuation of mortality risk via the instantaneous Sharpe ratio: applications to life annuities
Ambiguity aversion and an intertemporal equilibrium model of catastrophe-linked securities pricing
Actuarial applications of the linear hazard transform in life contingencies
Livestock mortality catastrophe insurance using fatal shock process
A cyclic approach on classical ruin model
The order-statistic claim process with dependent claim frequencies and severities
Stable distributions for open populations subject to periodical reclassifications

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