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Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999)
5 references·13 citing·40 second hop
Stochastic Processes for Insurance and Finance. By T. Rolski, H. Schmidli, V. Schmidt and J. Teugels (John Wiley, Chichester, 1999) (2000)Stochastic Processes for Insurance and Fi…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Financial Calculus: An Introduction to Derivative Pricing. (1997)Financial Calculus: An Introd…Financial Calculus (1996)Financial CalculusInsurance Risk Models (1994)Insurance Risk ModelsMarkov Models & Optimization (1993)Markov Models & OptimizationOptimal investment and proportional reinsurance for a jump–diffusion risk model with constrained control variables (2015)Optimal investment and propor…On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula (2011)On the Moments of Aggregate D…On the ruin probabilities of a bidimensional perturbed risk model (2006)On the ruin probabilities of …Worst VaR scenarios (2005)Worst VaR scenariosMultivariate risk model of phase type (2005)Multivariate risk model of ph…Conditional tail expectations for multivariate phase-type distributions (2005)Conditional tail expectations…Mean-Variance Optimal Reinsurance Arrangements (2004)Mean-Variance Optimal Reinsur…Asymptotics of ruin probabilities for controlled risk processes in the small claims case (2004)Asymptotics of ruin probabili…The estimation of phase-type related functionals using Markov chain Monte Carlo methods (2003)The estimation of phase-type …Some results on ruin probabilities in a two-dimensional risk model (2003)Some results on ruin probabil…Ruin Probabilities in the Compound Markov Binomial Model (2003)Ruin Probabilities in the Com…On the number of near-maximum insurance claim under dependence (2003)On the number of near-maximum…Asymptotics of stochastic networks with subexponential service times (1999)Asymptotics of stochastic net…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Computational methods in risk theory: A matrix-algorithmic approach (1992)On Multivariate Panjer Recursions (1999)Dependence properties and bounds for ruin probabilities in multivariate compound risk models (2006)Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results (2008)ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS (2014)Dependency of Risks and Stop-Loss Order (1996)Stochastic Processes for Insurance & Finance (1999)Uniform asymptotics for the finite-time ruin probabilities of two kinds of nonstandard bidimensional risk models (2012)Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (2013)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)Some results on the CTE-based capital allocation rule (2007)TVaR-based capital allocation with copulas (2009)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)An Introduction to Copulas (1999)Stochastic Processes for Insurance and Finance (2001)Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims (2010)Asymptotic finite-time ruin probability for a bidimensional renewal risk model with constant interest force and dependent subexponential claims (2014)Stochastic Processes for Insurance and Finance (1999)On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance (2004)Optimal investment for an insurer with exponential utility preference (2006)Some Applications and Methods of Large Deviations in Finance and Insurance (2007)Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Numerical Solution of Stochastic Differential Equations (2016)Stability and convergence of moments for multiclass queueing networks via fluid limit models (1995)Controlled diffusion models for optimal dividend pay-out (1997)Dynamic modeling and control of supply chain systems: A review (2007)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)The Econometrics of Financial Markets (1998)Interest‐Rate Modelling (2014)
this work references cited by second hop

References

  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1993Markov Models & Optimization861 cited
  • 1997Financial Calculus: An Introduction to Derivative Pricing.361 cited
  • 1996Financial Calculus313 cited
  • 1994Insurance Risk Models276 cited

Cited by

  • 2005Conditional tail expectations for multivariate phase-type distributions119 cited
  • 2003Some results on ruin probabilities in a two-dimensional risk model97 cited
  • 2006On the ruin probabilities of a bidimensional perturbed risk model74 cited
  • 2005Multivariate risk model of phase type71 cited
  • 2004Asymptotics of ruin probabilities for controlled risk processes in the small claims case66 cited
  • 2003Ruin Probabilities in the Compound Markov Binomial Model60 cited
  • 2003The estimation of phase-type related functionals using Markov chain Monte Carlo methods59 cited
  • 2004Mean-Variance Optimal Reinsurance Arrangements58 cited
  • 2005Worst VaR scenarios57 cited
  • 2015Optimal investment and proportional reinsurance for a jump–diffusion risk model with constrained control variables45 cited

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2011
On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula
42 cited
  • 2003On the number of near-maximum insurance claim under dependence41 cited
  • 1999Asymptotics of stochastic networks with subexponential service times25 cited