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On finite-time ruin probabilities for classical risk models
16 references·0 citing·24 second hop
On finite-time ruin probabilities for classical risk models (2007)On finite-time ruin probabilities for cla…Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryModern Actuarial Risk Theory (2002)Modern Actuarial Risk TheoryRuin Probabilities (2000)Ruin ProbabilitiesDiscounted probabilities and ruin theory in the compound binomial model (2000)Discounted probabilities and …On the Time Value of Ruin (1998)On the Time Value of RuinThe probability of ruin in finite time with discrete claim size distribution (1997)The probability of ruin in fi…On the Mathematical Theory of Risk (1994)On the Mathematical Theory of…Insurance Risk Models (1994)Insurance Risk ModelsRuin probabilities in the compound binomial model (1993)Ruin probabilities in the com…Aspects of Risk Theory (1991)Aspects of Risk TheoryThe Probability of Eventual Ruin in the Compound Binomial Model (1989)The Probability of Eventual R…Recursive calculation of finite-time ruin probabilities (1988)Recursive calculation of fini…Mathematical Fun with the Compound Binomial Process (1988)Mathematical Fun with the Com…An introduction to mathematical risk theory (1979)An introduction to mathematic…Stochastic Theory of a Risk Business (1970)Stochastic Theory of a Risk B…On the Ruin Problem of Collective Risk Theory (1961)On the Ruin Problem of Collec…Option pricing by Esscher transforms. (1995)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Actuarial Mathematics. (1986)On the distribution of the surplus prior to ruin (1992)Ruin probabilities for time-correlated claims in the compound binomial model (2001)Insurance: Mathematics and Economics (2004)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)The concept of comonotonicity in actuarial science and finance: applications (2002)Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Risk measures and comonotonicity (2006)Premium Calculation by Transforming the Layer Premium Density (1996)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)Optimal dividends in the dual model (2006)Strategies for Dividend Distribution: A Review (2009)On a risk model with dependence between interclaim arrivals and claim sizes (2006)Large deviations results for subexponential tails, with applications to insurance risk (1996)Anomalous waiting times in high-frequency financial data (2004)The application of continuous-time random walks in finance and economics (2005)Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures (2007)Optimal reinsurance under VaR and CTE risk measures (2008)Entropic Value-at-Risk: A New Coherent Risk Measure (2011)
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References

  • 1979An introduction to mathematical risk theory914 cited
  • 1991Aspects of Risk Theory902 cited
  • 1998On the Time Value of Ruin786 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2002Modern Actuarial Risk Theory282 cited
  • 1994Insurance Risk Models276 cited
  • 1970Stochastic Theory of a Risk Business225 cited
  • 1994On the Mathematical Theory of Risk196 cited
  • 1988Mathematical Fun with the Compound Binomial Process170 cited
  • 1989The Probability of Eventual Ruin in the Compound Binomial Model122 cited
  • 1997The probability of ruin in finite time with discrete claim size distribution110 cited
  • 1988Recursive calculation of finite-time ruin probabilities108 cited
  • 2000Ruin Probabilities103 cited
  • 1993Ruin probabilities in the compound binomial model102 cited
  • 2000Discounted probabilities and ruin theory in the compound binomial model98 cited
  • 1961On the Ruin Problem of Collective Risk Theory83 cited

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