Risk Modelling in General Insurance

DOI10.1017/CBO9781139033756zbMath1250.91057MaRDI QIDQ2898743

Roger J. Gray, Susan M. Pitts

Publication date: 12 July 2012

zbMATH Keywords

fast Fourier transformcontinuous time modelscredibility theoryoptimal reinsuranceruin theoryutility theoryreinsuranceactuarial sciencecompound distributionsPanjer recursionone-period models

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Credit risk (91G40) Actuarial mathematics (91G05)

Related Items (5)

When is utilitarian welfare higher under insurance risk pooling? ⋮ Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers ⋮ General Insurance Deductible Ratemaking ⋮ Fat-Tailed Regression Modeling with Spliced Distributions ⋮ Insurance loss coverage and social welfare

Uses Software

• R
• UsingR

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