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Wertorientierte Steuerung von Lebensversicherungsunternehmen mittels stochastischer Prozesse

Listed author(s):
  • Nell, Martin
  • Pohl, Philipp
Registered author(s):

    In dieser Arbeit wird das Konzept einer wertorientierten Steuerung von Lebensversicherungsunternehmen basierend auf stochastischen Prozessen vorgestellt. Dabei werden die stochastischen Prozesse dazu verwendet, die zufälligen wertbestimmenden Parameter der Unternehmensbewertung zu modellieren. Als Ergebnis erhält man für den Unternehmenswert Verteilungsfunktionen, die approximativ bzw. exakt in der Klasse der Normalverteilungen liegen. Betrachtet werden dabei stochastische Prozesse in diskreter bzw. stetiger Zeit und mit diskretem bzw. stetigem Zustandsraum.

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    Paper provided by University of Hamburg, Institute for Risk and Insurance in its series Working Papers on Risk and Insurance with number 15.

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    Date of creation: 2005
    Handle: RePEc:zbw:hzvwps:15
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    1. Cai, Jun & Dickson, David C.M., 2004. "Ruin probabilities with a Markov chain interest model," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 513-525, December.
    2. Goldstein, Alice B & Markowitz, Barbara G, 1982. " SOFASIM: A Dynamic Insurance Model with Investment Structure, Policy Benefits and Taxes," Journal of Finance, American Finance Association, vol. 37(2), pages 595-604, May.
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