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Insurance : mathematics and economics-Número 3 37 2005

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Publicación: Insurance : mathematics and economics

Número: Número 3 37 2005

Tipo: Normal

Derechos: InC

Título	Autor	Páginas
The win-first probability under interest force
Affine processes for dynamic mortality and actuarial valuations
Benefit uncertainty and default risk in pension plans
Multinomial model for random sums
The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
On the probability of ruin in a Markov-modulated risk model
Fair valuation of participating policies with surrender options and regime switching
Static-arbitrage optimal subreplicating strategies for basket options
Occupation measure and local time of classical risk processes
Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence
Optimal stopping behavior of equity-linked investment products with regime switching
Optimal investment for insurer with jump-diffusion risk process
Risk capital decomposition for a multivariate dependent gamma portfolio
On the discounted penalty function in a Markov-dependent risk model