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Recursive calculation of finite-time ruin probabilities
1 references·12 citing·32 second hop
Recursive calculation of finite-time ruin probabilities (1988)Recursive calculation of finite-time ruin…Recursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2011)Randomized observation period…Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches (2008)Dividend Moments in the Dual …On finite-time ruin probabilities for classical risk models (2007)On finite-time ruin probabili…A solution to the ruin problem for Pareto distributions (2003)A solution to the ruin proble…The discrete-time risk model with correlated classes of business (2000)The discrete-time risk model …Pricing Excess of Loss Reinsurance with Reinstatements (2000)Pricing Excess of Loss Reinsu…Reinsurance and ruin (1996)Reinsurance and ruinOn the distribution of the duration of negative surplus (1996)On the distribution of the du…Some Stable Algorithms in Ruin Theory and Their Applications (1995)Some Stable Algorithms in Rui…Some Comments on the Compound Binomial Model (1994)Some Comments on the Compound…The Probability and Severity of Ruin in Finite and Infinite Time (1992)The Probability and Severity …Recursive Calculation of Survival Probabilities (1991)Recursive Calculation of Surv…An introduction to mathematical risk theory (1979)On the Class of Erlang Mixtures with Risk Theoretic Applications (2007)Insurance Risk Models (1994)Optimal retention levels, given the joint survival of cedent and reinsurer (2004)Excess of loss reinsurance under joint survival optimality (2006)Optimal joint survival reinsurance: An efficient frontier approach (2010)Aspects of Risk Theory (1991)On the Time Value of Ruin (1998)Loss Models: From Data to Decisions (1999)Does positive dependence between individual risks increase stop-loss premiums? (2001)Stochastic Processes for Insurance and Finance (2001)On the first time of ruin in the bivariate compound Poisson model (2005)On the ruin probabilities of a bidimensional perturbed risk model (2006)Stochastic Theory of a Risk Business (1970)Exact and approximate properties of the distribution of surplus before and after ruin (1998)Lundberg Approximations for Compound Distributions with Insurance Applications (2001)On the time to ruin for Erlang(2) risk processes (2001)On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency (2012)Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012)On Optimal Periodic Dividend Strategies in the Dual Model with Diffusion (2013)On the Probability and Severity of Ruin (1987)On some measures of the severity of ruin in the classical Poisson model (1994)On the discounted distribution functions of the surplus process perturbed by diffusion (2001)Mathematical Fun with the Compound Binomial Process (1988)On the distribution of the surplus prior to ruin (1992)Ruin Probabilities in the Compound Markov Binomial Model (2003)The compound binomial risk model with time-correlated claims (2006)Further Results on Recursive Evaluation of Compound Distributions (1981)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Insurance Risk and Ruin (2005)Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest (2003)A review of discrete-time risk models (2009)
this work references cited by second hop

References

  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited

Cited by

  • 1991Recursive Calculation of Survival Probabilities106 cited
  • 2011Randomized observation periods for the compound Poisson risk model: the discounted penalty function100 cited
  • 2000The discrete-time risk model with correlated classes of business82 cited
  • 1994Some Comments on the Compound Binomial Model80 cited
  • 1996Reinsurance and ruin68 cited
  • 1995Some Stable Algorithms in Ruin Theory and Their Applications58 cited
  • 1992The Probability and Severity of Ruin in Finite and Infinite Time57 cited
  • 2007On finite-time ruin probabilities for classical risk models50 cited
  • 1996On the distribution of the duration of negative surplus45 cited
  • 2008Dividend Moments in the Dual Risk Model: Exact and Approximate Approaches40 cited
  • 2000Pricing Excess of Loss Reinsurance with Reinstatements35 cited
  • 2003A solution to the ruin problem for Pareto distributions34 cited

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