Risk and insurance. A graduate text

DOI10.1007/978-3-030-35176-2MaRDI QIDQ5216807zbMATH OpenOpenAlexFDO

Authors Mogens Steffensen, Søren Asmussen

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

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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Cited in

(25)

• Modelling and evaluation of risks in insurance. Models on one period
• On the risk of credibility premium rules
• Scaled insurance cash flows: representation and computation via change of measure techniques
• Retrospective reserves and bonus
• Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process
• BUSINESS INTERRUPTION INSURANCE, A RISKY BUSINESS: A STUDY ON SOME PARETIAN RISK PHENOMENA
• A general surplus decomposition principle in life insurance
• Reserve-dependent Management Actions in life insurance
• 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
• Life insurance risk management essentials
• Introduction to insurance mathematics. Technical and financial features of risk transfers
• Irreversible reinsurance: minimization of capital injections in presence of a fixed cost
• Non-life insurance mathematics. An introduction with the Poisson process
• Handbook of Insurance
• scientific article; zbMATH DE number 5321684 (Why is no real title available?)
• scientific article; zbMATH DE number 5351146 (Why is no real title available?)
• Hedging insurance books
• Optimal consumption, investment, and insurance under state-dependent risk aversion
• Health insurance, portfolio choice, and retirement incentives
• Multivariate higher order moments in multi-state life insurance
• Efficient projections of with-profit life insurance using lumping
• Risk theory

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