From ruin theory to solvency in non-life insurance

被引：5
|
作者：
Wuethrich, Mario V. [1 ]
机构：
[1] Swiss Fed Inst Technol, Dept Math, RiskLab Switzerland, Zurich, Switzerland
来源：
SCANDINAVIAN ACTUARIAL JOURNAL | 2015年 / 06期
关键词：
ruin theory; Cramer-Lundberg process; solvency and acceptability; valuation; non-life insurance cash flows; best-estimate reserves; risk measures;
D O I：
10.1080/03461238.2013.858401
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We start from ruin theory considerations in the classical Cramer-Lundberg model. We modify these considerations step by step so that finally we arrive at today's solvency assessments for non-life insurance companies. These modifications include discussions about time horizons, risk measures, financial returns, and valuation of insurance liabilities.
引用
收藏
页码：516 / 526
页数：11
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