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Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting
10 references·3 citing·34 second hop
Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting (1999)Computation of Compound Distributions I: …Simulation of Ruin Probabilities for Subexponential Claims (1997)Simulation of Ruin Probabilit…Modelling Extremal Events (1997)Modelling Extremal EventsAspects of Risk Theory (1991)Aspects of Risk TheoryApplied Probability and Queues (1987)Applied Probability and QueuesRisk Theory (1984)Risk TheoryNumerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform? (1984)Numerical evaluation of the c…Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Recursive Evaluation of a Family of Compound Distributions (1981)Recursive Evaluation of a Fam…Subexponentiality and infinite divisibility (1979)Subexponentiality and infinit…Risk Theory: The Stochastic Basis of Insurance. (1978)Risk Theory: The Stochastic B…Sources of uncertainty in modeling operational risk losses (2006)Sources of uncertainty in mod…Ruin theory revisited: stochastic models for operational risk (2002)Ruin theory revisited: stocha…Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation (2000)Computation of Compound Distr…Mathematical Methods in Risk Theory (1970)Subexponential distributions and integrated tails (1988)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)An introduction to mathematical risk theory (1979)Further Results on Recursive Evaluation of Compound Distributions (1981)How to (and how not to) compute stop-loss premiums in practice (1993)Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday (1993)Calculation of aggregate loss distributions (2010)On the tails of waiting-time distributions (1975)On closure and factorization properties of subexponential and related distributions (1980)Subexponential distributions and characterizations of related classes (1989)Large deviations of heavy-tailed random sums with applications in insurance and finance (1997)Simulation and the Monte Carlo Method (1981)Simulating heavy tailed processes using delayed hazard rate twisting (2002)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)State-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)Simulation and the Monte Carlo Method (2016)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)A stochastic method for claims reserving in general insurance (1990)Statistical motor rating: making effective use of your data (1992)Decompounding: an estimation problem for Poisson random sums (2003)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Insurance Risk and Ruin (2005)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)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

  • 1997Modelling Extremal Events4,397 cited
  • 1987Applied Probability and Queues2,704 cited
  • 1991Aspects of Risk Theory902 cited
  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1979Subexponentiality and infinite divisibility307 cited
  • 1984Risk Theory141 cited
  • 1978Risk Theory: The Stochastic Basis of Insurance.118 cited
  • 1997Simulation of Ruin Probabilities for Subexponential Claims108 cited
  • 1984Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?66 cited

Cited by

  • 2002Ruin theory revisited: stochastic models for operational risk44 cited
  • 2006Sources of uncertainty in modeling operational risk losses42 cited
  • 2000Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation37 cited

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