On the accumulated aggregate surplus of a life portfolio.

DOI10.1016/S0167-6687(01)00094-4zbMath1055.91026MaRDI QIDQ1413297

Werner Hürlimann

Publication date: 16 November 2003

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

zbMATH Keywords

Black-Scholes formulaDependenceBonusDe Pril's recursionStable reserve

Mathematics Subject Classification ID

Related Items

Optimal asset allocation for a general portfolio of life insurance policies ⋮ Biometric Solvency Risk for Portfolios of General Life Contracts. I. The Single-Life Multiple Decrement Case

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimal reinsurance in relation to ordering of risks
• The safest dependence structure among risks.
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