Modern Problems in Insurance Mathematics

Front Cover
Dmitrii Silvestrov, Anders Martin-Löf
Springer, Jun 6, 2014 - Business & Economics - 385 pages

This book is a compilation of 21 papers presented at the International Cramér Symposium on Insurance Mathematics (ICSIM) held at Stockholm University in June, 2013. The book comprises selected contributions from several large research communities in modern insurance mathematics and its applications.

The main topics represented in the book are modern risk theory and its applications, stochastic modelling of insurance business, new mathematical problems in life and non-life insurance and related topics in applied and financial mathematics.

The book is an original and useful source of inspiration and essential reference for a broad spectrum of theoretical and applied researchers, research students and experts from the insurance business. In this way, Modern Problems in Insurance Mathematics will contribute to the development of research and academy–industry co-operation in the area of insurance mathematics and its applications.

 

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Contents

1 International Cramér Symposium on Insurance Mathematics ICSIM
3
2 Harald Cramér and Insurance Mathematics
7
3 100 Years of the Scandinavian Actuarial Journal
15
Part IIModern Risk Theory and Its Applications
18
4 A Note on GerberShiu Functions with an Application
21
5 Improved Asymptotics for Ruin Probabilities
37
6 Exponential Asymptotical Expansions for Ruin Probability in a Classical Risk Process with Nonpolynomial Perturbations
69
7 Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes
94
Part IVNew Mathematical Problems in Life andNonLife Insurance
197
13 Analysis of the Stochasticity of Mortality Using Variance Decomposition
198
14 The Impact of Stress Factors on the Price of Widows Pensions
223
15 The Design of an Optimal BonusMalus System Based on the Sichel Distribution
239
16 BonusMalus Systems in Open and Closed Portfolios
261
Part VRelated Topics in Applied and FinancialMathematics
272
17 Large Deviations for a Damped Telegraph Process
275
An Approach Based on Random Sup Measures
290

8 Coherent Risk Measures Under Dominated Variation
113
9 Estimation of the Ruin Probability in Infinite Time for Heavy RightTailed Losses
139
Part IIIStochastic Modelling of Insurance Business
152
10 A SimulationBased ALM Model in Practical Use by a Norwegian Life Insurance Company
153
11 Predicting Future Claims Among High Risk Policyholders Using Random Effects
171
12 Disability Insurance Claims Study by a Homogeneous Discrete Time Alternating Renewal Process
187
19 Generalisation of the Damping Factor in PageRank for Weighted Networks
313
20 Asian Options JumpDiffusion Processes on a Lattice and Vandermonde Matrices
335
21 Option Pricing and CVaR Hedging in the RegimeSwitching Telegraph Market Model
364
Index
379
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