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Entropy, a useful concept in risk theory
2 references·1 citing·10 second hop
Entropy, a useful concept in risk theory (1986)Entropy, a useful concept in risk theoryNumerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform? (1984)Numerical evaluation of the c…An introduction to mathematical risk theory (1979)An introduction to mathematic…On asymptotically efficient simulation of ruin probabilities in a Markovian environment (1992)On asymptotically efficient s…Further Results on Recursive Evaluation of Compound Distributions (1981)Recursive Evaluation of a Family of Compound Distributions (1981)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)Computation of Compound Distributions I: Aliasing Errors and Exponential Tilting (1999)Calculation of aggregate loss distributions (2010)Risk theory in a Markovian environment (1989)Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue (1991)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)
this work references cited by second hop

References

  • 1979An introduction to mathematical risk theory914 cited
  • 1984Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?66 cited

Cited by

  • 1992On asymptotically efficient simulation of ruin probabilities in a Markovian environment31 cited

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