Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (Q1936559)
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scientific article; zbMATH DE number 6134645
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns |
scientific article; zbMATH DE number 6134645 |
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Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns (English)
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6 February 2013
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Sparre Andersen risk model
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geometric Lévy stochastic returns
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VaR
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CVaR
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regularly varying claim size
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sub-exponential claim size
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asymptotic approximation
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Solvency II
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