Risk and insurance. A graduate text

DOI10.1007/978-3-030-35176-2zbMATH Open1447.91001OpenAlexW4233338805MaRDI QIDQ5216807FDOQ5216807

Søren Asmussen, Mogens Steffensen

Publication date: 20 February 2020

Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-35176-2

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zbMATH Keywords

extreme value theoryrisk measuresstochastic controllife insuranceruin theorynon-life insuranceclaim reservingstochastic mortality rates

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Extreme value theory; extremal stochastic processes (60G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Risk models (general) (91B05)

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• Effective experience rating for large insurance portfolios via surrogate modeling
• Refined behaviour of a conditioned random walk in the large deviations regime
• On the randomized Schmitter problem
• Phase-type representations of stochastic interest rates with applications to life insurance
• Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
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• Multivariate higher order moments in multi-state life insurance
• Efficient projections of with-profit life insurance using lumping

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