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Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
16 references·2 citing·28 second hop
Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities (2009)Finite-Time Ruin Probabilities for Discre…Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryOn a risk model with dependence between interclaim arrivals and claim sizes (2006)On a risk model with dependen…Insurance Risk and Ruin (2005)Insurance Risk and RuinModern Actuarial Risk Theory (2002)Modern Actuarial Risk TheoryStochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Ruin Probabilities (2000)Ruin ProbabilitiesStochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…The probability of ruin in finite time with discrete claim size distribution (1997)The probability of ruin in fi…Insurance Risk Models (1994)Insurance Risk ModelsRecursive Calculation of Survival Probabilities (1991)Recursive Calculation of Surv…Aspects of Risk Theory (1991)Aspects of Risk TheoryRecursive calculation of finite-time ruin probabilities (1988)Recursive calculation of fini…An Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979] (1981)An Introduction to Mathematic…An introduction to mathematical risk theory (1979)An introduction to mathematic…Stochastic Theory of a Risk Business (1970)Stochastic Theory of a Risk B…Ruin problems for a discrete time risk model with non-homogeneous conditions (2011)Ruin problems for a discrete …Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed (2008)Impact of correlation crises …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)Loss Models: From Data to Decisions (1999)The compound binomial risk model with time-correlated claims (2006)Gerber–Shiu Risk Theory (2013)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)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)The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin (1997)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)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)On Optimal Dividend Strategies In The Compound Poisson Model (2006)On optimality of the barrier strategy in de Finetti’s dividend problem for spectrally negative Lévy processes (2008)
this work references cited by second hop

References

  • 1979An introduction to mathematical risk theory914 cited
  • 1991Aspects of Risk Theory902 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2000Ruin Probabilities447 cited
  • 2002Modern Actuarial Risk Theory282 cited
  • 1994Insurance Risk Models276 cited
  • 2005Insurance Risk and Ruin264 cited
  • 1970Stochastic Theory of a Risk Business225 cited
  • 2006On a risk model with dependence between interclaim arrivals and claim sizes188 cited
  • 1981An Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979]144 cited
  • 1997The probability of ruin in finite time with discrete claim size distribution110 cited
  • 1988Recursive calculation of finite-time ruin probabilities108 cited
  • 1991Recursive Calculation of Survival Probabilities106 cited

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Cited by

  • 2008Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed29 cited
  • 2011Ruin problems for a discrete time risk model with non-homogeneous conditions29 cited