Risk minimization with inflation and interest rate risk: applications to non-life insurance-Reference-Cited by-同舟云学术

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Risk minimization with inflation and interest rate risk: applications to non-life insurance

Published:2009-06 Issue:2 Volume:2009 Page:119-151
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Barbarin Jérôme,De Launois Tanguy,Devolder Pierre

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

http://www.tandfonline.com/doi/pdf/10.1080/03461230802281047

Reference17 articles.

1. The Effective Duration and Convexity of Liabilities for Property-Liability Insurers Under Stochastic Interest Rates

2. The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas

3. Point Processes and Queues

4. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

5. Optimal investment strategy for a non-life insurance company: quadratic loss

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Allocation for Actuarial Liabilities: An Insurance Industry Application;Eurasian Studies in Business and Economics;2024

2. Extended reduced-form framework for non-life insurance;Advances in Applied Probability;2022-06-14

3. Synthesis of Responsive Motion Using a Dynamic Model;Computer Graphics Forum;2010-05

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