✦ LIBER ✦

081031 (M11, M13) Stochastic calculus in actuarial science: Norberg R., University of Copenhagen, Copenhagen, Laboratory of Actuarial Mathematics, University of Copenhagen, Working Paper No. 135, 1995

Publisher: Elsevier Science
Year: 1996
Tongue: English
Weight: 90 KB
Volume: 18
Category: Article
ISSN: 0167-6687
DOI: 10.1016/0167-6687(96)81413-2

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

081029 (M10, M31) Optimal estimation und

081029 (M10, M31) Optimal estimation under linear constraints: Neuhaus W., University of Copenhagen, Copenhagen, Laboratory of Actuarial Mathematics, University of Copenhagen, Working Paper No. 136, 1995

📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 92 KB

Stochastic calculus in actuarial science

Stochastic calculus in actuarial science. Itô's revolution-— our revelation : 074017 (M11) Norberg R., University of Copenhagen, Denmark, Astin Colloquium Leuven, 1995

📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 117 KB

092028 (M13) Continuity of ruin probabil

092028 (M13) Continuity of ruin probabilities : Kalashnikov V., Laboratory of Actuarial Mathematics, University of Copenhagen, Working Paper No. 141, 1996

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 87 KB

Upper and lower bounds of the distribution function of a geometric sum with heavy-tailed summands are proposed. These bounds can serve as bounds of the ruin probability. Their accuracy is illustrated by numerical examples.

092019 (M11, B10) Bonus in life insuranc

092019 (M11, B10) Bonus in life insurance: Principles and prognoses in a Stochastic environment : Norberg R., Laboratory of Actuarial Mathematics, University of Copenhagen, Working Paper No. 142, 1996

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 91 KB

In this article, the authors discuss mixed exponential distributions and, more generally, scale mixtures with specific consideration the purpose of insurance modeling. Results are derived for equilibrium distributions (defined via stop-loss transforms) of mixed distributions. Some recursive relation

094016 (M40) Prediction of outstanding l

094016 (M40) Prediction of outstanding liabilities II: Model variations and extensions : Norberg R., Working Paper No 148, Laboratory of Actuarial Mathematics, University of Copenhagen, Denmark, 1997

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 85 KB

094007 (M13) Ruin probabilities for Erla

094007 (M13) Ruin probabilities for Erlang(2) risk processes : Dickson D.C.M., Hipp C., Working Paper No 147, Laboratory of Actuarial Mathematics, University of Copenhagen, Denmark, 1997

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 83 KB

## Abstracts and Reviews based on the framework of the BUhlmann and Straubmodel. The results are compared with those obtained by applying the model suggested by Ramlau-Hansen.