Some further results on ordering of risks
In: Blätter der DGVFM, Band 15, Heft 1, S. 1-6
ISSN: 1864-0303
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In: Blätter der DGVFM, Band 15, Heft 1, S. 1-6
ISSN: 1864-0303
In: Statistica Neerlandica: journal of the Netherlands Society for Statistics and Operations Research, Band 56, Heft 3, S. 253-269
ISSN: 1467-9574
A trend in actuarial finance is to combine technical risk with interest risk. If Yt, t= 1, 2,… denotes the time–value of money (discount factors at time t) and Xt the stochastic payments to be made at time t, the random variable of interest is often the scalar product of these two random vectors V=ΣXt Yt. The vectors X? and Y? are supposed to be independent, although in general they have dependent components. The current insurance practice based on the law of large numbers disregards the stochastic financial aspects of insurance. On the other hand, introduction of the variables Y1,Y2, … to describe the financial aspects necessitates estimation or knowledge of their distribution function.We investigate some statistical models for problems of insurance and finance, including Risk Based Capital/Value at Risk, Asset Liability Management, the distribution of annuities, cash flow evaluations (in the framework of pension funds, embedded value of a portfolio, Asian options) and provisions for claims incurred, but not reported (IBNR).
In: Blätter der DGVFM, Band 17, Heft 3, S. 217-223
ISSN: 1864-0303
In: Statistica Neerlandica, Band 40, Heft 4, S. 273-282
ISSN: 1467-9574
Abstract. Some invariance properties of net stop loss ordering of risks are examined and proved in the framework of weighted compound distributions.
In: Blätter der DGVFM, Band 16, Heft 3, S. 301-310
ISSN: 1864-0303
In: Blätter der DGVFM, Band 21, Heft 1, S. 1-12
ISSN: 1864-0303