Limit theorems for the present value of the surplus of an insurance portfolio

DOI10.1016/0167-6687(88)90106-0zbMath0683.62059OpenAlexW1995616552MaRDI QIDQ1824975

P. Boogaert, J. Haezendonck, Freddy Delbaen

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)90106-0

zbMATH Keywords

inflationcompound Poisson processinterestsurplus processesclassical and present value riskequal integrabilitymacro-economic factors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Related Items (10)

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ Ruin estimates under interest force ⋮ Delay in claim settlement ⋮ Macro-economic influences on the crossing of dividend barriers ⋮ UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS ⋮ Moment generating functions of compound renewal sums with discounted claims ⋮ Moment generating functions of compound renewal sums with discounted claims ⋮ The construction of a quadratic predictor of the discounted renewal claims with dependence ⋮ Covariance of discounted compound renewal sums with a stochastic interest rate ⋮ Ruin probabilities in the presence of heavy-tails and interest rates

Cites Work

• Classical risk theory in an economic environment
• Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
• Point processes and queues. Martingale dynamics
• Ruin problems with compounding assets

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