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The discrete-time risk model with correlated classes of business
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The discrete-time risk model with correlated classes of business (2000)The discrete-time risk model with correla…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Loss Models: From Data to Decisions (1999)Loss Models: From Data to Dec…AGGREGATION OF CORRELATED RISK PORTFOLIOS: MODELS AND ALGORITHMS (1999)AGGREGATION OF CORRELATED RIS…Insurance Risk Models (1994)Insurance Risk ModelsRecursive Calculation of Survival Probabilities (1991)Recursive Calculation of Surv…Effective actuarial methods (1990)Effective actuarial methodsRecursive calculation of finite-time ruin probabilities (1988)Recursive calculation of fini…An introduction to mathematical risk theory (1979)An introduction to mathematic…Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Risk Measures and Multivariate Extensions of Breiman's Theorem (2012)Risk Measures and Multivariat…On the ruin probabilities of a bidimensional perturbed risk model (2006)On the ruin probabilities of …On the first time of ruin in the bivariate compound Poisson model (2005)On the first time of ruin in …On a correlated aggregate claims model with thinning-dependence structure (2005)On a correlated aggregate cla…On a class of discrete time renewal risk models (2005)On a class of discrete time r…Ruin Probabilities in the Compound Markov Binomial Model (2003)Ruin Probabilities in the Com…Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications (2002)Criteria for the Stochastic O…Does positive dependence between individual risks increase stop-loss premiums? (2001)Does positive dependence betw…Introduction to the Theory of Queues. (1963)An equilibrium characterization of the term structure (1977)Extreme Values, Regular Variation and Point Processes (1987)On minimizing the ruin probability by investment and reinsurance (2002)The application of continuous-time random walks in finance and economics (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Recursive Evaluation of a Family of Compound Distributions (1981)Some Comments on the Compound Binomial Model (1994)Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2011)The impact of heterogeneity in individual frailty on the dynamics of mortality (1979)A distribution-free approach to inducing rank correlation among input variables (1982)Understanding Relationships Using Copulas (1998)Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates (2003)On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula (2008)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Controlled diffusion models for optimal dividend pay-out (1997)Inf-convolution of risk measures and optimal risk transfer (2005)Modeling and Comparing Dependencies in Multivariate Risk Portfolios (1998)Optimal reinsurance and stop-loss order (1998)Actuarial versus Financial Pricing of Insurance (2000)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)Insurance Risk and Ruin (2005)On a risk model with dependence between interclaim arrivals and claim sizes (2006)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)
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Cited by

  • 2006On the ruin probabilities of a bidimensional perturbed risk model74 cited
  • 2005On the first time of ruin in the bivariate compound Poisson model73 cited
  • 2001Does positive dependence between individual risks increase stop-loss premiums?71 cited
  • 2003Ruin Probabilities in the Compound Markov Binomial Model60 cited
  • 2005On a class of discrete time renewal risk models

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51 cited
  • 2005On a correlated aggregate claims model with thinning-dependence structure49 cited
  • 2012Risk Measures and Multivariate Extensions of Breiman's Theorem45 cited
  • 2002Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications43 cited