Premium valuation in international insurance

DOI10.1080/03461238.1987.10413817zbMATH Open0637.62099OpenAlexW1981771458MaRDI QIDQ3777288FDOQ3777288

Laurent L. Jacque, Charles S. Tapiero

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)

Cites Work

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• Optimum excess-loss reinsurance: A dynamic framework

Cited In (2)

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

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