Premium valuation in international insurance

DOI10.1080/03461238.1987.10413817zbMATH Open0637.62099OpenAlexW1981771458MaRDI QIDQ3777288FDOQ3777288

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

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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)

Cites Work

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• Optimum excess-loss reinsurance: A dynamic framework
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Cited In (4)

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

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