Journal of Mathematical Sciences

, Volume 81, Issue 5, pp 3000–3004 | Cite as

Asymptotic analysis of an individual risk model with random insurance premiums

  • S. Ya. Shorgin
Article

Abstract

The factorization model of an individual claim is introduced to investiate an insurer's surplus within a general statistical individual risk model.

Keywords

Factorization Model Risk Model Individual Risk Asymptotic Analysis Insurance Premium 

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References

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    H. H. Panjer and G. E. Willmot,Insurance Risk Models, The Society of Actuaries, Schaumburg, Illinois (1992).Google Scholar
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    W. Feller,An Introduction to Probability Theory and Its Applications, Vol 2, Wiley, New York-London-Sydney-Toronto (1971).Google Scholar
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    V. M. Kruglov and V. Yu. Korolev,Limit Theorems for Random Sums [in Russian], Moscow Univ. Press, Moscow (1990).Google Scholar
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    S. Ya. Shorgin, “Asymptotic estimation of optimal insurance premiums under conditions of the individual claim factorization model [in Russian],”Vestn. MGU, Ser. Vychislitel'naya Mat. Kibern. (to appear).Google Scholar

Copyright information

© Plenum Publishing Corporation 1996

Authors and Affiliations

  • S. Ya. Shorgin
    • 1
  1. 1.Institute of Information TransmissionRussian Academy of SciencesMoscowRussia

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