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Discontinued business in non-life insurance: an empirical test of the market development in the German-speaking countries

Eling, Martin ; Pankoke, David

In: European Actuarial Journal, 2014, vol. 4, no. 1, p. 31-48

Market-Consistent Valuation of Insurance Liabilities by Cost of Capital

Möhr, Christoph

In: ASTIN Bulletin, 2011, vol. 41, no. 2, p. 315-341

MARKET VALUE MARGIN VIA MEAN-VARIANCE HEDGING

Tsanakas, Andreas ; Wüthrich, Mario V. ; Černý, Aleš

In: ASTIN Bulletin, 2013, vol. 43, no. 3, p. 301-322

Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

Loisel, Stéphane ; Mazza, Christian ; Rullière, Didier

In: Insurance: Mathematics and Economics, 2009, vol. 45, no. 3, p. 374-381

In the classical risk model, we prove the weak convergence of a sequence of empirical finite-time ruin probabilities. In an earlier paper (see Loisel et al., (2008)), we proved an equivalent result in the special case where the initial reserve is zero, and checked that numerically the general case seems to be true. In this paper, we prove the general case (with a nonnegative initial reserve),...