## Modern Problems in Insurance MathematicsThis 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, |

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### Contents

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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 |

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Modern Problems in Insurance Mathematics Dmitrii Silvestrov,Anders Martin-Löf No preview available - 2014 |