Diffusion premiums for claim severities subject to inflation

DOI10.1016/0167-6687(88)90105-9zbMath0657.62120OpenAlexW2027292176MaRDI QIDQ1110973

S. H. Smith

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90105-9

zbMATH Keywords

weak convergencestochastic differential equationsinflationdiscountingdiffusion modelinterestpremium principlesaggregate claimsstop-loss premiumsclaim processrisk loadingAnalytical formulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ Moments of the cash value of future payment streams arising from life insurance contracts. ⋮ Stochastic differential equations for compounded risk reserves ⋮ Ruin probabilities based at claim instants for some non-Poisson claim processes

Cites Work

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• Classical risk theory in an economic environment
• Ruin problems with compounding assets
• Weak convergence of assets processes with stochastic interest return
• On the probability of ruin of risk processes approximated by a diffusion process
• Diffusion approximations in collective risk theory

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