IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v30y2002i1p85-93.html
   My bibliography  Save this article

A discussion on Buhlmann's criterion for asset valuation

Author

Listed:
  • Wang, Nan
  • Pang, Wan Kai
  • Huang, Wei Kwang

Abstract

No abstract is available for this item.

Suggested Citation

  • Wang, Nan & Pang, Wan Kai & Huang, Wei Kwang, 2002. "A discussion on Buhlmann's criterion for asset valuation," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 85-93, February.
    • Handle: RePEc:eee:insuma:v:30:y:2002:i:1:p:85-93
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(01)00100-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Gerber, Hans U. & Shiu, Elias S. W., 1999. "From ruin theory to pricing reset guarantees and perpetual put options," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 3-14, March.
    2. Gerber, Hans U., 1990. "When does the surplus reach a given target?," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 115-119, September.
    3. Hans Bühlmann, 1997. "Collective Risk Theory for Assets," North American Actuarial Journal, Taylor & Francis Journals, vol. 1(2), pages 104-104.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Min Song & Rong Wu & Xin Zhang, 2008. "Total duration of negative surplus for the dual model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(6), pages 591-600, November.
    2. Cheung, Eric C.K. & Wong, Jeff T.Y., 2017. "On the dual risk model with Parisian implementation delays in dividend payments," European Journal of Operational Research, Elsevier, vol. 257(1), pages 159-173.
    3. Dassios, Angelos & Wu, Shanle, 2008. "Parisian ruin with exponential claims," LSE Research Online Documents on Economics 32033, London School of Economics and Political Science, LSE Library.
    4. Lin, X. Sheldon & Willmot, Gordon E., 2000. "The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 19-44, August.
    5. Cheng, Shixue & Gerber, Hans U. & Shiu, Elias S. W., 2000. "Discounted probabilities and ruin theory in the compound binomial model," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 239-250, May.
    6. He, Jingmin & Wu, Rong & Zhang, Huayue, 2009. "Total duration of negative surplus for the risk model with debit interest," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1320-1326, May.
    7. Landriault, David & Shi, Tianxiang, 2015. "Occupation times in the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 75-82.
    8. Chiu, S. N. & Yin, C. C., 2003. "The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 59-66, August.
    9. Chunhao Cai & Bo Li, 2018. "Occupation Times of Intervals Until Last Passage Times for Spectrally Negative Lévy Processes," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2194-2215, December.
    10. Armstrong, Michael J., 2001. "The reset decision for segregated fund maturity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 257-269, October.
    11. Ko, Bangwon & Shiu, Elias S.W. & Wei, Li, 2010. "Pricing maturity guarantee with dynamic withdrawal benefit," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 216-223, October.
    12. Picard, Philippe & Lefevre, Claude, 1998. "The moments of ruin time in the classical risk model with discrete claim size distribution," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 157-172, November.
    13. Windcliff, H. & Forsyth, P. A. & Vetzal, K. R., 2001. "Valuation of segregated funds: shout options with maturity extensions," Insurance: Mathematics and Economics, Elsevier, vol. 29(1), pages 1-21, August.
    14. Wang, Nan & Politis, Konstadinos, 2002. "Some characteristics of a surplus process in the presence of an upper barrier," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 231-241, April.
    15. Gerber, Hans U. & Shiu, Elias S. W., 1997. "The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 129-137, November.
    16. Mousa, A.S. & Pinheiro, D. & Pinto, A.A., 2016. "Optimal life-insurance selection and purchase within a market of several life-insurance providers," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 133-141.
    17. Biffis, Enrico & Morales, Manuel, 2010. "On a generalization of the Gerber-Shiu function to path-dependent penalties," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 92-97, February.
    18. Dickson, David C. M. & Egidio dos Reis, Alfredo D., 1997. "The effect of interest on negative surplus," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 1-16, October.
    19. Wenyuan Wang & Xiaowen Zhou, 2021. "A Drawdown Reflected Spectrally Negative Lévy Process," Journal of Theoretical Probability, Springer, vol. 34(1), pages 283-306, March.
    20. Yitao Yang & Jingmin He & Zhongqin Gao & Bingbing Wang, 2017. "Exit times for the diffusion risk model with debit interest," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 8(2), pages 1810-1815, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:30:y:2002:i:1:p:85-93. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.