Risk and Insurance

DOI10.1007/978-3-030-35176-2zbMath1447.91001OpenAlexW4233338805MaRDI QIDQ5216807

Mogens Steffensen, Soren 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

stochastic controlextreme value theoryruin theoryrisk measureslife insurancenon-life insuranceclaim reservingstochastic mortality rates

Mathematics Subject Classification ID

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

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Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Parisian excursion with capital injection for drawdown reflected Lévy insurance risk process ⋮ On the randomized Schmitter problem ⋮ Health insurance, portfolio choice, and retirement incentives ⋮ Optimal consumption, investment, and insurance under state-dependent risk aversion ⋮ Refined behaviour of a conditioned random walk in the large deviations regime ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ Retrospective reserves and bonus ⋮ On the risk of credibility premium rules ⋮ Multivariate higher order moments in multi-state life insurance ⋮ A general surplus decomposition principle in life insurance ⋮ Reserve-dependent Management Actions in life insurance

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