Present value of some insurance portfolios

DOI10.1080/03461238.1997.10413975MaRDI QIDQ4248558zbMATH OpenOpenAlexFDO

Authors Jostein Paulsen

Publication date 10 January 2000

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

Full work available at URL https://doi.org/10.1080/03461238.1997.10413975

zbMATH Keywords

Poisson processespresent valuestochastic discounting

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3425963 (Why is no real title available?)
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• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• A martingale approach to premium calculation principles in an arbitrage free market
• A stochastic calculus model of continuous trading: Complete markets
• A survey of stochastic continuous time models of the term structure of interest rates
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Consols In the Cir Model
• Delay in claim settlement
• Letter to the Editor—The Output of an M/G/∞ Queuing System is Poisson
• Martingales and stochastic integrals in the theory of continuous trading
• Moments of the present value of a portfolio of policies
• Point processes and queues. Martingale dynamics
• Reinsurance in arbitrage-free markets
• Risk theory in a stochastic economic environment
• Stochastic models for bond prices, function space integrals and immunization theory

Cited in

(9)

• Barwerte von Renten mit Dynamik
• A uniform asymptotic estimate for discounted aggregate claims with subexponential tails
• Present value distributions with applications to ruin theory and stochastic equations
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Moments of the present value of a portfolio of policies
• Linear generalized stochastic systems for insurance portfolios
• Berechnung von barwerten bei periodischer zinsentwicklung
• Computing present values by the AGM
• Continuous-time perpetuities and time reversal of diffusions

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