On the risk of credibility premium rules

DOI10.1080/03461238.2021.1895298zbMath1484.91367OpenAlexW3136585781MaRDI QIDQ5861812

Corina Constantinescu, Julie Thøgersen, Soren Asmussen

Publication date: 2 March 2022

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2021.1895298

zbMATH Keywords

large deviationsruin probabilitygamma distributionconjugate priorcredibility premiumsscale parameter family

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• On the Laplace transform of the lognormal distribution
• Large deviations techniques and applications.
• Conjugate priors for exponential families
• On the Lambert \(w\) function
• On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
• Explicit ruin formulas for models with dependence among risks
• Logarithmic asymptotics for steady-state tail probabilities in a single-server queue
• Risk and Insurance
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