From ruin theory to solvency in non-life insurance

DOI10.1080/03461238.2013.858401zbMath1401.91202OpenAlexW2073841033MaRDI QIDQ4576911

Mario V. Wüthrich

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2013.858401

zbMATH Keywords

ruin theoryvaluationrisk measuresCramér-Lundberg processbest-estimate reservesnon-life insurance cash flowssolvency and acceptability

Mathematics Subject Classification ID

Related Items (3)

Capital Requirements for Cyber Risk and Cyber Risk Insurance: An Analysis of Solvency II, the U.S. Risk-Based Capital Standards, and the Swiss Solvency Test ⋮ Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances ⋮ On the risk consistency and monotonicity of ruin theory

Uses Software

• QRM

Cites Work

• Gerber-Shiu risk theory
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• A general version of the fundamental theorem of asset pricing
• Coherent Measures of Risk
• Risk Measures and Efficient use of Capital
• Asymptotic ruin probabilities when exponential moments do not exist
• Stochastic finance. An introduction in discrete time
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