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Gamma Processes and Finite Time Survival Probabilities
4 references·4 citing·37 second hop
Gamma Processes and Finite Time Survival Probabilities (1993)Gamma Processes and Finite Time Survival …The Probability and Severity of Ruin in Finite and Infinite Time (1992)The Probability and Severity …Risk Theory with the Gamma Process (1991)Risk Theory with the Gamma Pr…Recursive Calculation of Survival Probabilities (1991)Recursive Calculation of Surv…The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t) (1974)The numerical calculation ofU…The Markov consistency of Archimedean survival processes (2016)The Markov consistency of Arc…General theory of geometric Lévy models for dynamic asset pricing (2012)General theory of geometric L…The Distribution of the time to Ruin in the Classical Risk Model (2002)The Distribution of the time …Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks (2001)Analytical Evaluation of Econ…An introduction to mathematical risk theory (1979)Recursive Evaluation of a Family of Compound Distributions (1981)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)Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)Probability of ruin with variable premium rate (1980)Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times (2004)Nonparametric estimation of ruin probabilities given a random sample of claims (2008)Elements of Queueing Theory (2014)On the Probability and Severity of Ruin (1987)On some measures of the severity of ruin in the classical Poisson model (1994)On the distribution of the duration of negative surplus (1996)On the discounted distribution functions of the surplus process perturbed by diffusion (2001)On the Time Value of Ruin (1998)Loss Models: From Data to Decisions (1999)The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims (2005)The Dual Theory of Choice under Risk (1987)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Modeling Catastrophes and their Impact on Insurance Portfolios (2003)Multiple Risk Factor Dependence Structures: Copulas and Related Properties (2016)Option pricing when underlying stock returns are discontinuous (1976)Financial Modelling with Jump Processes (2003)Stochastic Integration and Differential Equations (2005)Rational multi-curve models with counterparty-risk valuation adjustments (2015)Stochastic Theory of a Risk Business (1970)Actuarial Mathematics (1986)The Poisson-Inverse Gaussian distribution as an alternative to the negative binomial (1987)Martingale Approach to Pricing Perpetual American Options (1994)Ruin probabilities and decompositions for general perturbed risk processes (2004)On a dual model with a dividend threshold (2008)An Introduction to Copulas (1999)Prediction of Outstanding Liabilities II. Model Variations and Extensions (1999)Lévy random bridges and the modelling of financial information (2010)
this work references cited by second hop

References

  • 1991Risk Theory with the Gamma Process144 cited
  • 1991Recursive Calculation of Survival Probabilities106 cited
  • 1992The Probability and Severity of Ruin in Finite and Infinite Time57 cited
  • 1974The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)54 cited

Cited by

  • 2001Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks44 cited
  • 2002The Distribution of the time to Ruin in the Classical Risk Model33 cited
  • 2012General theory of geometric Lévy models for dynamic asset pricing30 cited
  • 2016The Markov consistency of Archimedean survival processes25 cited

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