IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v32y2003i3p331-344.html
   My bibliography  Save this article

Risk comparisons of premium rules: optimality and a life insurance study

Author

Listed:
  • Asmussen, Soren
  • Moller, Jakob R.

Abstract

No abstract is available for this item.

Suggested Citation

  • Asmussen, Soren & Moller, Jakob R., 2003. "Risk comparisons of premium rules: optimality and a life insurance study," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 331-344, July.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:3:p:331-344
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(02)00208-1
    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. Ragnar Norberg, 1999. "A theory of bonus in life insurance," Finance and Stochastics, Springer, vol. 3(4), pages 373-390.
    2. Ramlau-Hansen, Henrik, 1991. "Distribution of Surplus in Life Insurance," ASTIN Bulletin, Cambridge University Press, vol. 21(1), pages 57-71, April.
    3. Norberg, Ragnar, 1995. "Differential equations for moments of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 171-180, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Feng, Xinlong & He, Guoliang & Abdurishit,, 2008. "Estimation of parameters of the Makeham distribution using the least squares method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 34-44.
    2. Jodrá, P., 2009. "A closed-form expression for the quantile function of the Gompertz–Makeham distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3069-3075.
    3. Gao, Suhao & Yu, Zhen, 2023. "Parametric expectile regression and its application for premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 242-256.

    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. Jamaal Ahmad & Kristian Buchardt & Christian Furrer, 2020. "Computation of bonus in multi-state life insurance," Papers 2007.04051, arXiv.org, revised Nov 2023.
    2. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
    3. Julian Jetses & Marcus C. Christiansen, 2021. "A General Surplus Decomposition Principle in Life Insurance," Papers 2111.12967, arXiv.org.
    4. Marcus C. Christiansen & Christian Furrer, 2020. "Dynamics of state-wise prospective reserves in the presence of non-monotone information," Papers 2003.02173, arXiv.org, revised Jan 2021.
    5. Kallestrup-Lamb, Malene & Søgaard Laursen, Nicolai, 2024. "Longevity hedge effectiveness using socioeconomic indices," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 242-251.
    6. Feng, Xinlong & He, Guoliang & Abdurishit,, 2008. "Estimation of parameters of the Makeham distribution using the least squares method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 34-44.
    7. Debbie Kusch Falden & Anna Kamille Nyegaard, 2021. "Retrospective Reserves and Bonus with Policyholder Behavior," Risks, MDPI, vol. 9(1), pages 1-28, January.
    8. Jamaal Ahmad & Mogens Bladt, 2022. "Phase-type representations of stochastic interest rates with applications to life insurance," Papers 2207.11292, arXiv.org, revised Nov 2022.
    9. Tenorio Villal¢n, Angel F. & Martín Caraballo, Ana M. & Paralera Morales, Concepción & Contreras Rubio, Ignacio, 2013. "Ecuaciones diferenciales y en diferencias aplicadas a los conceptos económicos y financieros || Differential and Difference Equations Applied to Economic and Financial Concepts," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 16(1), pages 165-199, December.
    10. Djehiche, Boualem & Löfdahl, Björn, 2014. "Risk aggregation and stochastic claims reserving in disability insurance," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 100-108.
    11. Francesca Biagini & Andreas Groll & Jan Widenmann, 2016. "Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains," Risks, MDPI, vol. 4(3), pages 1-26, July.
    12. Andreas Niemeyer, 2015. "Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework," Risks, MDPI, vol. 3(1), pages 1-26, January.
    13. B. Levikson & E. Frostig & D. Bshouty, 2001. "An Algorithm Evaluating Generalized Life Insurance Programs," Methodology and Computing in Applied Probability, Springer, vol. 3(3), pages 329-340, September.
    14. Hesselager, Ole & Norberg, Ragnar, 1996. "On probability distributions of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 35-42, May.
    15. Christiansen, Marcus C. & Furrer, Christian, 2021. "Dynamics of state-wise prospective reserves in the presence of non-monotone information," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 81-98.
    16. Ragnar Norberg, 2013. "Optimal hedging of demographic risk in life insurance," Finance and Stochastics, Springer, vol. 17(1), pages 197-222, January.
    17. Dahl, Mikkel, 2004. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 113-136, August.
    18. Jarner, Søren Fiig & Kronborg, Morten Tolver, 2016. "Entrance times of random walks: With applications to pension fund modeling," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 1-20.
    19. Oytun Hac{c}ar{i}z & Torsten Kleinow & Angus S. Macdonald, 2023. "On Technical Bases and Surplus in Life Insurance," Papers 2310.16927, arXiv.org.
    20. Koca, Ilknur, 2018. "Efficient numerical approach for solving fractional partial differential equations with non-singular kernel derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 278-286.

    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:32:y:2003:i:3:p:331-344. 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.