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Teoriya Veroyatnostei i ee Primeneniya, 1993, Volume 38, Issue 2, Pages 374–416
(Mi tvp3947)
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This article is cited in 45 scientific papers (total in 45 papers)
Some aspects of insurance mathematics
P. Embrechts, C. Klüppelberga a Deparment of Mathematics, ETH-Zentrum, Zurich, Switzerland
Abstract:
This paper was written on the invitation of the editors of this journal and is, in general, a review. Its aim is to show how the theory of probability and mathematical statistics are applied for solving problems of the insurance field. In § 2 a description of the basic probabilistic models in risk theory is given and the problems connected with the structure of the insurance payments are considered. Section 3 is devoted to income aspect of insurance activities and the sizes of the insurance payments are under consideration. Statistical aspects of insurance mathematics are considered in § 4.
Keywords:
insurance mathematics, risk theory, Poisson and compound Poisson models, Cox processes, the Cramér–Lundberg theorem, martingales, optional stopping theorem, piecewise deterministic Markov processes, general insurance risk model.
Received: 03.12.1992
Citation:
P. Embrechts, C. Klüppelberg, “Some aspects of insurance mathematics”, Teor. Veroyatnost. i Primenen., 38:2 (1993), 374–416; Theory Probab. Appl., 38:2 (1993), 262–295
Linking options:
https://www.mathnet.ru/eng/tvp3947 https://www.mathnet.ru/eng/tvp/v38/i2/p374
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