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)

Recommendations

• Measuring Foreign Exchange Risk in Insurance Transactions
• Premium rating under non-exponential utility
• The premium and the risk of a life policy in the presence of interest rate fluctuations
• scientific article; zbMATH DE number 1865403
• scientific article; zbMATH DE number 591098

Cites work

• scientific article; zbMATH DE number 3126031 (Why is no real title available?)
• scientific article; zbMATH DE number 3744982 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• 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)

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

This page was built for publication: Premium valuation in international insurance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3777288)