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Confidence bounds for the adjustment coefficient
9 references·1 citing·33 second hop
Confidence bounds for the adjustment coefficient (1996)Confidence bounds for the adjustment coef…Nonparametric Estimation of the Stationary Waiting Time Distribution Function for the $GI/G/1$ Queue (1994)Nonparametric Estimation of t…Aspects of Risk Theory (1991)Aspects of Risk TheoryEmpirical Laplace transform and approximation of compound distributions (1990)Empirical Laplace transform a…Effective actuarial methods (1990)Effective actuarial methodsEstimators and Bootstrap Confidence Intervals for Ruin Probabilities (1989)Estimators and Bootstrap Conf…Nonparametric Estimation of the Probability of a Long Delay in the M/G/1 Queue (1988)Nonparametric Estimation of t…Nonparametric Estimation of the Probability of Ruin (1986)Nonparametric Estimation of t…Nonparametric Estimation of Probability of Ruin (1986)Nonparametric Estimation of P…Estimates for the probability of ruin with special emphasis on the possibility of large claims (1982)Estimates for the probability…Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000)Limit theory for the sample a…Proc symp on congestion theory (1990)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Empirical properties of asset returns: stylized facts and statistical issues (2001)Inference in Arch and Garch Models with Heavy-Tailed Errors (2003)The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series (2016)Mathematical Methods in Risk Theory (1970)Asymptotic behaviour of Wiener-Hopf factors of a random walk (1977)Subexponentiality and infinite divisibility (1979)Subexponential distributions and integrated tails (1988)Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks (2003)Stochastic Processes in Queueing Theory (1976)Applied Probability and Queues (1987)Large sample inference from single server queues (1988)Large sample Bayesian analysis for ${\rm Geo}/G/1$ discrete-time queueing models (1999)Nonparametric inference fromM/G/l busy periods (1999)Parameter and State Estimation in Queues and Related Stochastic Models: A Bibliography (2017)An introduction to mathematical risk theory (1979)Corrected diffusion approximations in certain random walk problems (1979)Estimation of the expected discounted penalty function for Lévy insurance risks (2011)Approximations for compound Poisson and Pólya processes (1985)Asymptotic Behaviour of Compound Distributions (1985)Nonparametric estimation of compound distributions with applications in insurance (1994)Risk Theory: The Stochastic Basis of Insurance. (1978)On a nonparametric estimator for ruin probability in the classical risk model (2012)Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model (2013)Controlled diffusion models for optimal dividend pay-out (1997)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)A bootstrap procedure for estimating the adjustment coefficient (1991)Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation (2014)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The concept of comonotonicity in actuarial science and finance: theory (2002)
this work references cited by second hop

References

  • 1991Aspects of Risk Theory902 cited
  • 1982Estimates for the probability of ruin with special emphasis on the possibility of large claims388 cited
  • 1990Effective actuarial methods192 cited
  • 1990Empirical Laplace transform and approximation of compound distributions43 cited
  • 1986Nonparametric Estimation of Probability of Ruin36 cited
  • 1986Nonparametric Estimation of the Probability of Ruin31 cited
  • 1989Estimators and Bootstrap Confidence Intervals for Ruin Probabilities30 cited
  • 1994Nonparametric Estimation of the Stationary Waiting Time Distribution Function for the $GI/G/1$ Queue21 cited
  • 1988Nonparametric Estimation of the Probability of a Long Delay in the M/G/1 Queue12 cited

Cited by

  • 2000Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process414 cited

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