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The effects of quantized data upon parameter estimation are investigated by re‐examining a variety of simple and complicated risk models previously studied by the author. In spite of this unifying theme, no general principles arise, except for demonstrating that estimation in models with two or...
This paper shows how a multivariate credibility estimator should be adjusted to satisfy a linear balancing constraint.
Segmentation strategies and differentiated preselection in underwriting call for new portfolio management techniques, the use of which is becoming increasingly widespread amongst insurance companies faced with growing competitive pressure. In recent years, mathematical procedures have been...
The force of interest is modelled by a homogeneous time‐continuous Markov chain with finite state space. Ordinary differential equations are obtained for expected values of various functionals of this process, in particular for moments of present values of payment streams that may be...
A problem of current concern in the assessment of claims experience in non‐life insurance is addressed. The problem relates to the interface of two well‐defined areas of actuarial activity, namely reserving and rating. A model is proposed that permits the analysis of claim settlement experience...
A short history of the works of Harald Cramér in insurance mathematics is given. In particular, the early development of the collective risk theory starting with the works of F. Lundberg is outlined. Also, the so called zero point method for premium calculations invented by Cramér is described.
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