Risk theory

DOI10.1007/978-3-319-72005-0zbMath1422.91009OpenAlexW4235738640MaRDI QIDQ680077

Hanspeter Schmidli

Publication date: 22 January 2018

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

Full work available at URL: https://doi.org/10.1007/978-3-319-72005-0

zbMATH Keywords

diffusion approximationmartingaleruin probabilityutility functioncredibility theoryMarkov modulated risk modeltime to ruinrisk measurecompound Poisson processsubexponential distributionrisk modelrenewal risk modelCape Cod methodbonus-malus systemCramér-Lundberg modeloptimal insuranceBayes methodAmmeter risk modelchain-ladder methodchange measure techniqueclaim reservingLundberg inequalitypremium calculationreinsurance and ruin

Mathematics Subject Classification ID

Utility theory (91B16) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (15)

Applications of a change of measures technique for compound mixed renewal processes to the ruin problem ⋮ Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Estimación máxima verosimilitud de la probabilidad de ruina en el modelo de riesgo clásico con reclamaciones exponenciales ⋮ Stationary workload and service times for some nonwork-conserving M/G/1 preemptive LIFO queues ⋮ A note on product-convolution for generalized subexponential distributions ⋮ Discounted probability of exponential parisian ruin: Diffusion approximation ⋮ Volterra integral equations: an approach based on Lipschitz-continuity ⋮ Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift ⋮ Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Time-inconsistent view on a dividend problem with penalty ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift ⋮ Optimal Dividend Problem: Asymptotic Analysis ⋮ Ruin-based risk measures in discrete-time risk models

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