Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns
type: Item
instance of: scholarly article
title: Insurance risk capital for the Sparre Andersen model with geometric Lévy stochastic returns
zbMATH Open document ID: 1268.91082
author: Werner Hürlimann
published in: European Actuarial Journal
publication date: 2013-02-06T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 6134645
zbMATH Keywords: Sparre Andersen risk model
zbMATH Keywords: geometric Lévy stochastic returns
zbMATH Keywords: VaR
zbMATH Keywords: CVaR
zbMATH Keywords: regularly varying claim size
zbMATH Keywords: sub-exponential claim size
zbMATH Keywords: asymptotic approximation
zbMATH Keywords: Solvency II
MaRDI profile type: Publication
full work available at URL: s13385-011-0038-9
OpenAlex ID: W2008680846
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DOI: 10.1007/S13385-011-0038-9
description: scientific article; zbMATH DE number 6134645