Zobrazeno 1 - 10
of 67
pro vyhledávání: '"Bølviken, Erik"'
Autor:
Bølviken, Erik, Wang, Yinzhi
The paper examines how reinsurance can be used to strike a balance between expected profit and VaR/CVaR risk. Conditions making truncated stop loss contracts optimal are derived, and it is argued that those are usually satisfied in practice. One of t
Externí odkaz:
http://arxiv.org/abs/2408.12933
Autor:
Wang, Yinzhi, Bølviken, Erik
The literature on optimal reinsurance does not deal with how much the effectiveness of such solutions is degraded by errors in parameters and models. The issue is investigated through both asymptotics and numerical studies. It is shown that the rate
Externí odkaz:
http://arxiv.org/abs/1912.04175
Autor:
Bølviken, Erik, Wang, Yinzhi
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this large-por
Externí odkaz:
http://arxiv.org/abs/1912.04086
Autor:
Bølviken, Erik1 (AUTHOR), Hobæk Haff, Ingrid1 (AUTHOR) ingrihaf@math.uio.no
Publikováno v:
Scandinavian Actuarial Journal. Oct2024, Vol. 2024 Issue 8, p763-780. 18p.
Autor:
Bølviken, Erik, Haff, Ingrid Hobæk
We propose a new class of claim severity distributions with six parameters, that has the standard two-parameter distributions, the log-normal, the log-Gamma, the Weibull, the Gamma and the Pareto, as special cases. This distribution is much more flex
Externí odkaz:
http://arxiv.org/abs/1805.10854
Autor:
Bølviken, Erik, Holden, Lars
Publikováno v:
Scandinavian Journal of Statistics, 2003 Dec 01. 30(4), 719-737.
Externí odkaz:
https://www.jstor.org/stable/4616798
Autor:
Viljugrein, Hildegunn, Saitoh, Takashi, Hansen, Thomas F., Kittilsen, Marte O., Bølviken, Erik, Glöckner, Fredrik
Publikováno v:
Proceedings of the National Academy of Sciences of the United States of America, 2003 Sep . 100(20), 11478-11483.
Externí odkaz:
https://www.jstor.org/stable/3147817
Autor:
Bølviken, Erik, Guillen, Montserrat
Publikováno v:
In Insurance Mathematics and Economics March 2017 73:20-26
Autor:
Bølviken, Erik, Skovlund, Eva
Publikováno v:
Journal of the American Statistical Association, 1996 Sep 01. 91(435), 1071-1078.
Externí odkaz:
https://www.jstor.org/stable/2291726