Directory UMM :Data Elmu:jurnal:I:Insurance Mathematics And Economics:Vol27.Issue2.2000:
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The model consists in relaxing the distributional assumptions of asset returns to a situation where the underlying random processes modeling the spot prices of assets are
England, Com- ments on: “A comparison of stochastic models that reproduce chain ladder re- serve estimates”, by Mack and Venter. (Discussion)
The paper presents a recursive method of calculating ruin probabilities for non-Poisson claim processes, by looking at the surplus process embedded at claim instants.. The
Using some results from risk theory on comonotone risks and stop-loss order, we were able to show that the price of an arithmetic Asian option can be bounded from above by the price
We shall consider the continuous time problem of optimal choice of new business to minimize infinite time ruin probability.. The objective function is chosen for simplicity and for
This function can be used to calculate the expected present value of a penalty that is due at ruin, and, if it is interpreted as a probability generating function, to obtain
He has contributed much to modern risk theory, ruin theory, optimization theory, ordering of risks, credibility theory, credibility theory in Hilbert spaces, IBNR methods based
Keywords: Term structure of interest rates; Instantaneous forward rates; Strip bonds; Bootstrapping; Splines; Correlation;
