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Nonparametric Estimation of the Probability of Ruin
7 references·4 citing·31 second hop
Nonparametric Estimation of the Probability of Ruin (1986)Nonparametric Estimation of the Probabili…Risk Theory (1984)Risk TheoryApproximations for the probability of ruin within finite time (1984)Approximations for the probab…Corrected diffusion approximations in certain random walk problems (1979)Corrected diffusion approxima…An introduction to mathematical risk theory (1979)An introduction to mathematic…Risk Theory: The Stochastic Basis of Insurance. (1978)Risk Theory: The Stochastic B…Calculation of Ruin Probabilities when the Claim Distribution is Lognormal (1977)Calculation of Ruin Probabili…Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation (2014)Nonparametric estimation for …Estimation of the expected discounted penalty function for Lévy insurance risks (2011)Estimation of the expected di…Confidence bounds for the adjustment coefficient (1996)Confidence bounds for the adj…Estimators and Bootstrap Confidence Intervals for Ruin Probabilities (1989)Estimators and Bootstrap Conf…Nonparametric Estimation of Probability of Ruin (1986)A bootstrap procedure for estimating the adjustment coefficient (1991)Some Limit Theorems in the Theory of Mass Service (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)Using the Generalized Likelihood Ratio Statistic for Sequential Detection of a Change-Point (1995)A Continuity Correction for Discrete Barrier Options (1997)A CUSUM Chart for Monitoring a Proportion When Inspecting Continuously (1999)Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)The Single Server Queue (1983)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Computational methods in risk theory: A matrix-algorithmic approach (1992)Controlled diffusion models for optimal dividend pay-out (1997)Ruin probabilities and decompositions for general perturbed risk processes (2004)Nonparametric estimation for Lévy processes from low-frequency observations (2009)Nonparametric estimation for pure jump Lévy processes based on high frequency data (2009)APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION (2016)Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion (2018)On the Time Value of Ruin (1998)Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insurance and Finance (2001)Estimating the Gerber–Shiu function by Fourier–Sinc series expansion (2016)A stochastic method for claims reserving in general insurance (1990)072103 (E50, M20) Option pricing by Esscher transforms (1995)Decompounding: an estimation problem for Poisson random sums (2003)Premium Calculation by Transforming the Layer Premium Density (1996)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models (2005)Subexponential distributions and integrated tails (1988)Ruin estimation for a general insurance risk model (1994)Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks (2000)
this work references cited by second hop

References

  • 1979An introduction to mathematical risk theory914 cited
  • 1970Mathematical Methods in Risk Theory721 cited
  • 1979Corrected diffusion approximations in certain random walk problems146 cited
  • 1984Risk Theory141 cited
  • 1978Risk Theory: The Stochastic Basis of Insurance.118 cited
  • 1984Approximations for the probability of ruin within finite time95 cited
  • 1977Calculation of Ruin Probabilities when the Claim Distribution is Lognormal55 cited

Cited by

  • 1989Estimators and Bootstrap Confidence Intervals for Ruin Probabilities30 cited
  • 2011Estimation of the expected discounted penalty function for Lévy insurance risks30 cited
  • 2014Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation29 cited
  • 1996Confidence bounds for the adjustment coefficient27 cited

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