Premium valuation in international insurance

DOI10.1080/03461238.1987.10413817MaRDI QIDQ3777288zbMATH OpenOpenAlexFDO

Authors Charles S. Tapiero, Laurent L. Jacque

Publication date 1987

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

Full work available at URL https://doi.org/10.1080/03461238.1987.10413817

zbMATH Keywords

exponential utilityreinsuranceexchange rate riskapproximation procedurecompound Poisson claims processesfair premium rateexpected utility equivalencyinternational insurancelognormal Itô exchange rate processpremium valuation formula

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39)

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Cites work

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• scientific article; zbMATH DE number 3566537 (Why is no real title available?)
• scientific article; zbMATH DE number 3578538 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Optimum excess-loss reinsurance: A dynamic framework

Cited in

(4)

• Joint insurance and capitalization costs
• Insurance guaranty premiums and exchange options
• Premium allocation and risk avoidance in a large firm: A continuous model
• Measuring Foreign Exchange Risk in Insurance Transactions

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