Diffusion premiums for claim severities subject to inflation
type: Item
instance of: scholarly article
title: Diffusion premiums for claim severities subject to inflation
zbMATH Open document ID: 0657.62120
DOI: 10.1016/0167-6687(88)90105-9
author: S. H. Smith
published in: Insurance Mathematics \& Economics
publication date: 1988-01-01T00:00:00Z
review text: A diffusion model for the aggregate claims which takes into account inflation and interest is described. Analytical formulas are then derived from it for premiums under different premium principles (including stop- loss premiums).
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 4074284
zbMATH Keywords: weak convergence
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: claim process
zbMATH Keywords: discounting
zbMATH Keywords: risk loading
zbMATH Keywords: diffusion model
zbMATH Keywords: aggregate claims
zbMATH Keywords: inflation
zbMATH Keywords: interest
zbMATH Keywords: Analytical formulas
zbMATH Keywords: premium principles
zbMATH Keywords: stop-loss premiums
reviewed by: Axel Reich
MaRDI profile type: Publication
full work available at URL: 0167-6687(88)90105-9
OpenAlex ID: W2027292176
cites work: Weak convergence of assets processes with stochastic interest return
cites work: Q3878440
cites work: Classical risk theory in an economic environment
cites work: Q3738451
cites work: Q3868650
cites work: Ruin problems with compounding assets
cites work: Diffusion approximations in collective risk theory
cites work: On the probability of ruin of risk processes approximated by a diffusion process
description: scientific article; zbMATH DE number 4074284