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Modern Problems in Insurance Mathematics

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....

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Bibliographic Details
Other Authors: Silvestrov, Dmitrii (Editor), Martin-Löf, Anders (Editor)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2014, 2014
Edition:1st ed. 2014
Series:EAA Series
Subjects:
Mathematics In Business, Economics And Finance
Computer Science / Mathematics
Actuarial Science
Probability Theory
Mathematical Applications In Computer Science
Social Sciences / Mathematics
Mathematical Modeling And Industrial Mathematics
Actuarial Mathematics
Probabilities
Mathematical Models
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • International Cramer Symposium on Insurance Mathematics
  • Harald Cramer and Insurance Mathematics
  • 100 Years of the Scandinavian Actuarial Journal
  • A Note on Gerber–Shiu Functions with an Application
  • Improved Asymptotics for Ruin Probabilities
  • Exponential Asymptotical Expansions for Ruin Probability in a Classical Risk Process with Non-Polynomial Perturbations
  • Asymptotics of Ruin Probabilities for Perturbed Discrete Time Risk Processes
  • Coherent Risk Measures under Dominated Variation
  • Estimation of the Ruin Probability in Infinite Time for Heavy Right-Tailed Losses
  • A Simulation-Based ALM Model in Practical Use by a Norwegian Life Insurance Company
  • Predicting Future Claims Among High Risk Policyholders Using Random Effects
  • Disability Insurance Claims Study by a Homogeneous Discrete Time Alternating Renewal Process
  • Analysis of the Stochasticity of Mortality Using Variance Decomposition
  • The Impact of Stress Factors on the Price of Widow’s Pensions
  • The Design of an Optimal Bonus-Malus System Based on the Sichel Distribution
  • Bonus-Malus Systems in Open and Closed Portfolios
  • Large Deviations for a Damped Telegraph Process
  • Probabilistic Choice with an Infinite Set of Options – an Approach Based on Random Sup Measures
  • Generalisation of the Damping Factor in PageRank for Weighted Networks
  • Asian Options, Jump-Diffusion Processes on a Lattice and Vandermonde Matrices
  • Option Pricing and CVaR Hedging in the Regime-Switching Telegraph Market Model

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