ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION

DOI10.1017/asb.2020.10zbMath1447.91134OpenAlexW3023917494MaRDI QIDQ5119566

Marcin Szatkowski, Łukasz Delong

Publication date: 31 August 2020

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2020.10

zbMATH Keywords

premium riskSolvency IIone-year riskclaims development processemergence patternultimate risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Handbook on loss reserving
• Paid-incurred chain claims reserving method
• Subexponentiality of the product of independent random variables
• The subexponentiality of products revisited
• Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
• Improved inequalities for the Poisson and binomial distribution and upper tail quantile functions
• A class ofk-log-convex functions and their applications to some special functions
• Stochastic ordering of classical discrete distributions
• Statistics of Extremes
• Sharp Inequalities for Polygamma Functions
• Heavy-Tail Phenomena

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