WebSite Logo
  • Content
  • Similar Resources
  • Metadata
  • Cite This
  • Language
    অসমীয়া বাংলা भोजपुरी डोगरी English ગુજરાતી हिंदी ಕನ್ನಡ
    Khasi कोंकणी मैथिली മലയാളം ꯃꯤꯇꯩ ꯂꯣꯟ मराठी Mizo नेपाली
    ଓଡ଼ିଆ ਪੰਜਾਬੀ संस्कृत ᱥᱟᱱᱛᱟᱲᱤ सिन्धी தமிழ் తెలుగు اردو
  • Log-in
  • Fullscreen
Log-in
Do not have an account? Register Now
Forgot your password? Account recovery
  1. European Actuarial Journal
  2. European Actuarial Journal : Volume 2
  3. European Actuarial Journal : Volume 2, Issue 1, July 2012
  4. Risk processes with dependence and premium adjusted to solvency targets
Loading...

Please wait, while we are loading the content...

European Actuarial Journal : Volume 7
European Actuarial Journal : Volume 6
European Actuarial Journal : Volume 5
European Actuarial Journal : Volume 4
European Actuarial Journal : Volume 3
European Actuarial Journal : Volume 2
European Actuarial Journal : Volume 2, Issue 2, December 2012
European Actuarial Journal : Volume 2, Issue 1, July 2012
Risk processes with dependence and premium adjusted to solvency targets
Worst-case-optimal dynamic reinsurance for large claims
Forecasting mortality: when academia meets practice
Financial planning and risk-return profiles
A subordinated Markov model for stochastic mortality
Tree-based methods: a useful tool for life insurance
Index clause: analytical properties and the capitalization strategy
European Actuarial Journal : Volume 1

Similar Documents

...
Interest rate risk and the Swiss Solvency Test

Article

...
On a capital allocation by minimization of some risk indicators

Article

...
Quadratic hedging: an actuarial view extended to solvency control

Article

...
Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance

Article

...
Mixed dynamic and static risk-minimization with an application to survivor swaps

Article

...
Interest rate risk: dimension reduction in the Swiss Solvency Test

Article

...
Long-term insurance products and volatility under the Solvency II Framework

Article

...
Revised version of: Solvency requirement for a long-term guarantee: risk measures versus probability of ruin

Article

...
Undertaking specific parameters under solvency II: reduction of capital requirement or not?

Article

Risk processes with dependence and premium adjusted to solvency targets

Content Provider Springer Nature Link
Author Constantinescu, Corina Maume Deschamps, Véronique Norberg, Ragnar
Copyright Year 2012
Abstract This paper considers risk processes with various forms of dependence between waiting times and claim amounts. The standing assumption is that the increments of the claims process possess exponential moments so that variations of the Lundberg upper bound for the probability of ruin are in reach. The traditional point of view in ruin theory is reversed: rather than studying the probability of ruin as a function of the initial reserve under fixed premium, the problem is to adjust the premium dynamically so as to obtain a given ruin probability (solvency requirement) for a fixed initial reserve (the financial capacity of the insurer). This programme is carried through in various models for the claims process, ranging from Cox processes with i.i.d. claim amounts, to conditional renewal (Sparre Andersen) processes.
Starting Page 1
Ending Page 20
Page Count 20
File Format PDF
ISSN 21909733
Journal European Actuarial Journal
Volume Number 2
Issue Number 1
e-ISSN 21909741
Language English
Publisher Springer-Verlag
Publisher Date 2012-03-29
Publisher Place Berlin, Heidelberg
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Lundberg upper bound Martingalizing premium rate General risk process Applications to actuarial sciences and financial mathematics Risk theory, insurance Applications of Mathematics Quantitative Finance Game Theory, Economics, Social and Behav. Sciences Finance/Investment/Banking
Content Type Text
Resource Type Article
Subject Statistics and Probability Economics and Econometrics Statistics, Probability and Uncertainty
  • About
  • Disclaimer
  • Feedback
  • Sponsor
  • Contact
About National Digital Library of India (NDLI)
NDLI logo

National Digital Library of India (NDLI) is a virtual repository of learning resources which is not just a repository with search/browse facilities but provides a host of services for the learner community. It is sponsored and mentored by Ministry of Education, Government of India, through its National Mission on Education through Information and Communication Technology (NMEICT). Filtered and federated searching is employed to facilitate focused searching so that learners can find the right resource with least effort and in minimum time. NDLI provides user group-specific services such as Examination Preparatory for School and College students and job aspirants. Services for Researchers and general learners are also provided. NDLI is designed to hold content of any language and provides interface support for 10 most widely used Indian languages. It is built to provide support for all academic levels including researchers and life-long learners, all disciplines, all popular forms of access devices and differently-abled learners. It is designed to enable people to learn and prepare from best practices from all over the world and to facilitate researchers to perform inter-linked exploration from multiple sources. It is developed, operated and maintained from Indian Institute of Technology Kharagpur.

Learn more about this project from here.

Disclaimer

NDLI is a conglomeration of freely available or institutionally contributed or donated or publisher managed contents. Almost all these contents are hosted and accessed from respective sources. The responsibility for authenticity, relevance, completeness, accuracy, reliability and suitability of these contents rests with the respective organization and NDLI has no responsibility or liability for these. Every effort is made to keep the NDLI portal up and running smoothly unless there are some unavoidable technical issues.

Feedback

Sponsor

Ministry of Education, through its National Mission on Education through Information and Communication Technology (NMEICT), has sponsored and funded the National Digital Library of India (NDLI) project.

Contact National Digital Library of India
Central Library (ISO-9001:2015 Certified)
Indian Institute of Technology Kharagpur
Kharagpur, West Bengal, India | PIN - 721302
See location in the Map
03222 282435
Mail: support@ndl.gov.in
Sl. Authority Responsibilities Communication Details
1 Ministry of Education (GoI),
Department of Higher Education
Sanctioning Authority https://www.education.gov.in/ict-initiatives
2 Indian Institute of Technology Kharagpur Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project https://www.iitkgp.ac.in
3 National Digital Library of India Office, Indian Institute of Technology Kharagpur The administrative and infrastructural headquarters of the project Dr. B. Sutradhar  bsutra@ndl.gov.in
4 Project PI / Joint PI Principal Investigator and Joint Principal Investigators of the project Dr. B. Sutradhar  bsutra@ndl.gov.in
Prof. Saswat Chakrabarti  will be added soon
5 Website/Portal (Helpdesk) Queries regarding NDLI and its services support@ndl.gov.in
6 Contents and Copyright Issues Queries related to content curation and copyright issues content@ndl.gov.in
7 National Digital Library of India Club (NDLI Club) Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach clubsupport@ndl.gov.in
8 Digital Preservation Centre (DPC) Assistance with digitizing and archiving copyright-free printed books dpc@ndl.gov.in
9 IDR Setup or Support Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops idr@ndl.gov.in
Cite this Content
Loading...