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On the Stability of Recursive Formulas
3 references·6 citing·32 second hop
On the Stability of Recursive Formulas (1993)On the Stability of Recursive FormulasRecursive Calculation of Survival Probabilities (1991)Recursive Calculation of Surv…Recursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…Further Results on Recursive Evaluation of Compound Distributions (1981)Further Results on Recursive …Calculation of aggregate loss distributions (2010)Calculation of aggregate loss…Another look at the Picard-Lefèvre formula for finite-time ruin probabilities (2004)Another look at the Picard-Le…Conditional value‐at‐risk bounds for compound Poisson risks and anormal approximation (2003)Conditional value‐at‐risk bou…A solution to the ruin problem for Pareto distributions (2003)A solution to the ruin proble…Recursive evaluation of aggregate claims distributions (2002)Recursive evaluation of aggre…Some Stable Algorithms in Ruin Theory and Their Applications (1995)Some Stable Algorithms in Rui…An introduction to mathematical risk theory (1979)Recursive calculation of finite-time ruin probabilities (1988)The discrete-time risk model with correlated classes of business (2000)On the Class of Erlang Mixtures with Risk Theoretic Applications (2007)Randomized observation periods for the compound Poisson risk model: the discounted penalty function (2011)Stochastic Theory of a Risk Business (1970)Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)On a nonparametric estimator for ruin probability in the classical risk model (2012)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Modeling Catastrophes and their Impact on Insurance Portfolios (2003)On Relation Betweeen Expected Regret and Conditional Value-at-Risk (2004)Economic Capital Allocations for Non-negative Portfolios of Dependent Risks (2008)Insurance Risk Models (1994)Loss Models: From Data to Decisions (1999)Recursions for compound phase distributions (2005)An Introduction to Mathematical Risk Theory. By Hans U. Gerber [S. S. Huebner Foundation, R. D. Irwin Inc. Homeward Illinois, 1979] (1981)Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities (2009)Modelling of extremal events in insurance and finance (1994)Monte Carlo Methods in Financial Engineering (2003)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Dynamic Hybrid Model for Comprehensive Risk Assessment: A Case Study of Train Derailment Due to Coupler Failure (2022)On the Probability and Severity of Ruin (1987)Exact and approximate properties of the distribution of surplus before and after ruin (1998)Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest (2003)A review of discrete-time risk models (2009)The Poisson-Inverse Gaussian distribution as an alternative to the negative binomial (1987)On some Extensions of Panjer's Class of Counting Distributions (1992)Panjer recursion versus FFT for compound distributions (2008)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Insurance Risk and Ruin (2005)
this work references cited by second hop

References

  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 1981Further Results on Recursive Evaluation of Compound Distributions201 cited
  • 1991Recursive Calculation of Survival Probabilities106 cited

Cited by

  • 2010Calculation of aggregate loss distributions61 cited
  • 1995Some Stable Algorithms in Ruin Theory and Their Applications58 cited
  • 2003Conditional value‐at‐risk bounds for compound Poisson risks and anormal approximation44 cited
  • 2002Recursive evaluation of aggregate claims distributions42 cited
  • 2004Another look at the Picard-Lefèvre formula for finite-time ruin probabilities37 cited
  • 2003A solution to the ruin problem for Pareto distributions34 cited

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