Premium valuation in international insurance

DOI10.1080/03461238.1987.10413817zbMath0637.62099OpenAlexW1981771458MaRDI QIDQ3777288

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

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

Mathematics Subject Classification ID

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

Related Items (2)

Joint insurance and capitalization costs ⋮ Premium allocation and risk avoidance in a large firm: A continuous model

Cites Work

• Optimum excess-loss reinsurance: A dynamic framework
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