Insurance and Risk Theory

✍ Scribed by G. W. de Wit (auth.), M. Goovaerts, F. de Vylder, J. Haezendonck (eds.)

• Publisher: Springer Netherlands
• Year: 1986
• Tongue: English
• Leaves: 476
• Series: NATO ASI Series 171
• Edition: 1
• Category: Library

✦ Synopsis

Canadian financial institutions have been in rapid change in the past five years. In response to these changes, the Department of Finance issued a discussion paper: The Regulation of Canadian Financial Institutions, in April 1985, and the government intends to introduce legislation in the fall. This paper studi.es the combinantion of financial institutions from the viewpoint of ruin probability. In risk theory developed to describe insurance companies [1,2,3,4,5J, the ruin probability of a company with initial reserve (capital) u is 6 1 -:;-7;;f3 u 1jJ(u) = H6 e H6 (1) Here,we assume that claims arrive as a Poisson process, and the claim amount is distributed as exponential distribution with expectation liS. 6 is the loading, i.e., premium charged is (1+6) times expected claims. Financial institutions are treated as "insurance companies": the difference between interest charged and interest paid is regarded as premiums, loan defaults are treated as claims.

✦ Table of Contents

Front Matter....Pages i-xii
Front Matter....Pages 1-1
Risk Theory, A Tool for Management?....Pages 3-22
Front Matter....Pages 23-23
Economic Ideas in Risk Theory....Pages 25-36
Simulation in Insurance....Pages 37-77
Application of the Problem of Moments to Various Insurance Problems in Non-Life....Pages 79-118
Application of Martingales in Risk Theory....Pages 119-127
Applications of Operations-Research Techniques in Insurance....Pages 129-143
Recent Research on the Risk Return Relationship in Financial Economics....Pages 145-164
General Regression in Multidimensional Credibility Theory....Pages 165-175
Ruin Theory Under the Submartingale Assumption....Pages 177-188
A Rigorous Proof of a Property of the Premium Principle of Zero Utility in the Case of Additivity....Pages 189-194
Bayesian Credibility With A Noninformative Prior....Pages 195-206
Front Matter....Pages 207-207
Separation Theorems in Proportional Reinsurance....Pages 209-215
A New Treatment of the Engineering Aspects of the ‘Zero-Infinity Dilemmas’ of Industrial Risk Management....Pages 217-233
On A Functional-Differential Equation Connected With the Premium Principle of Zero Utility....Pages 235-238
Markov Processes Between Moving Barriers — Moments of the First Hitting Time of Retaining or Absorbing Barrier....Pages 239-245
Some Mathematical Aspects of Combining Proportional and Non-Proportional Reinsurance....Pages 247-266
The Moments of Compound Interest Functions When Interest Fluctuates as a Compound Markov Chain....Pages 267-275
Pension Funding and Random Rates of Return....Pages 277-291
Bayes’ Criterion, the Minimax Principle and Statistical Decision Theory....Pages 293-300
Large Claims — Extreme Value Models....Pages 301-323
Front Matter....Pages 207-207
Some Numerical Methods for Calculating Semilinear Credibility Estimators....Pages 325-347
Weak Convergence of Risk Processes....Pages 349-360
On the Exposed to Risk Theory....Pages 361-366
Probability Bounds on Compound Distributions With Given Moments on Claim Severities....Pages 367-371
Additivity and Premium Calculation Principles....Pages 373-379
Computing Moments of Compound Distributions....Pages 381-384
Portfolio Valuation In Life Insurance....Pages 385-399
Risk Assessment of Merger, Acquisition, and Consolidation of Financial Services....Pages 401-406
Extending Arrow-Pratt Risk Premiums....Pages 407-419
On Optimal Deductibles....Pages 421-434
Solvency Margin and Profit in Life Insurance....Pages 435-445
Statistical Methods in General Insurance....Pages 447-452
Modelling Motor Insurance Claim Frequencies....Pages 453-458
General Bounds on Ruin Probabilities....Pages 459-463
Strict Liability and Insurance Under Loss Misestimation....Pages 465-479
Back Matter....Pages 481-487

✦ Subjects

Finance/Investment/Banking