A Stochastic Approach To Insurance Cycles

摘要: In a series of papers Pentikainen and coworkers have examined insurance cycles their consequences for the solvency insurers equalization reserves. recent contribution, Taylor analyzed underwriting by means differential equations, describing more or less deterministic behavior cycle. The aim present contribution is to give general framework which can be applied describe these in stochastic way. advantage our approach lies fact that we obtain analytical expressions margins are able separate effects pure effect cyclic behavior. other words, clear distinction made between classical idea reserves due trends. underlying from so-called 'path integral', originally arising quantum mechanics.