Insurance and risk theory

edited by M. Goovaerts, F. de Vylder, and J. Haezendonck

Proceedings of the NATO Advanced Study Institute, Maratea, Italy, 15-25 July, 1985.

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  • Opening session.- Invited lecture : Risk Theory, a Tool for Management?.- Main lectures.- Economic Ideas in Risk Theory.- Simulation in Insurance.- Application of the Problem of Moments to Various Insurance Problems in Non-life.- Application of Martingales in Risk Theory.- Applications of Operations-Research Techniques in Insurance.- Recent Research on the Risk Return Relationship in Financial Economics.- General Regression in Multidimensional Credibility Theory.- Ruin Theory under the Submartingale Assumption.- A rigorous Proof of a Property of the Premium Principle of Zero Utility in the Case of Additivity.- Bayesian Credibility with a Noninformative Prior.- Short communications.- Separation Theorems in Proportional Reinsurance.- A new Treatment of the Engineering Aspects of the "Zero-Infinity Dilemmas" of Industrial Risk Management.- On a Functional-Differential Equation connected with the Premium Principle of Zero Utility.- Markov Processes between Moving Barriers - Moments of the first Hitting Time of Retaining or Absorbing Barrier.- Some Mathematical Aspects of Combining Proportional and Non-Proportional Reinsurance.- The Moments of Compound Interest Functions when Interest fluctuates as a Compound Markov Chain.- Pension Funding and random Rates of Return.- Bayes Criterion, the Minimax Principle and Statistical Decision Theory.- Large Claims -.- Some Numerical Methods for Calculating Semilinear Credibility Estimators.- Weak Convergence of Risk Processes.- On the Exposed to Risk Theory.- Probability Bounds on Compound Distributions with given Moments on Claim Severities.- Additivity and Premium Calculation Principles.- Computing Moments of Compound Distributions.- Portfolio Valuation in Life Insurance.- Risk Assessment of Merger, Acquisition, and Consolidation of Financial Services.- Extending Arrow-Pratt Risk Premiums.- On Optimal Deductibles.- Solvency Margin and Profit in Life Insurance.- Statistical Methods in General Insurance.- Modelling Motor Insurance Claim Frequencies.- General Bounds on Ruin Probabilities.- Strict Liability and Insurance under Loss Misestimation.

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書名 Insurance and risk theory
著作者等 Goovaerts, M. J.
Haezendonck, J.
NATO Advanced Study Institute on Insurance and Risk Theory
NATO Science Committee
Vylder, Florent de
De Vylder F.
シリーズ名 NATO ASI series
出版元 D.Reidel
Sold and Kluwer Academic
刊行年月 c1986
ページ数 xii, 487 p.
大きさ 25 cm
ISBN 902772203X
NCID BA03434022
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言語 英語
出版国 オランダ

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