SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
An application of fractional differential equations to risk theory
9 references·0 citing·32 second hop
An application of fractional differential equations to risk theory (2019)An application of fractional differential…Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory (2014)Fractional Poisson Process: L…Ruin Probabilities (2010)Ruin ProbabilitiesOn ruin for the Erlang(n) risk process (2004)On ruin for the Erlang(n) ris…On the time to ruin for Erlang(2) risk processes (2001)On the time to ruin for Erlan…The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (2000)The moments of the time of ru…Ruin probabilities for Erlang(2) risk processes (1998)Ruin probabilities for Erlang…On the Time Value of Ruin (1998)On the Time Value of RuinOn a Class of Renewal Risk Processes (1998)On a Class of Renewal Risk Pr…On the Mathematical Theory of Risk (1994)On the Mathematical Theory of…Stochastic Processes in Queueing Theory (1976)The compound Poisson risk model with a threshold dividend strategy (2005)The Time Value of Ruin in a Sparre Andersen Model (2005)On a risk model with dependence between interclaim arrivals and claim sizes (2006)An introduction to mathematical risk theory (1979)Option pricing by Esscher transforms. (1995)Optimal Dividends (2004)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Applied Probability and Queues (1987)Phase-Type Representations in Random Walk and Queueing Problems (1992)On a correlated aggregate claims model with Poisson and Erlang risk processes (2002)Collective Risk Theory (2004)On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times (2005)Matrix-Analytic Methods in Stochastic Models (2014)Long range dependence of point processes, with queueing examples (1997)Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion (2012)Insurance Risk Models (1994)Analysis of a defective renewal equation arising in ruin theory (1999)On the discounted penalty function in a Markov-dependent risk model (2005)Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Moments of compound renewal sums with discounted claims (2001)Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process (2003)Insurance: Mathematics and Economics (2004)Risk model with fuzzy random individual claim amount (2007)The classical risk model with a constant dividend barrier: analysis of the Gerber–Shiu discounted penalty function (2003)Large deviations results for subexponential tails, with applications to insurance risk (1996)Anomalous waiting times in high-frequency financial data (2004)The application of continuous-time random walks in finance and economics (2005)Randomly weighted sums of subexponential random variables with application to capital allocation (2014)Exit identities for Lévy processes observed at Poisson arrival times (2016)Quantifying Distributional Model Risk via Optimal Transport (2019)
this work references cited by second hop

References

  • 1998On the Time Value of Ruin786 cited
  • 2010Ruin Probabilities572 cited
  • 2001On the time to ruin for Erlang(2) risk processes260 cited
  • 2004On ruin for the Erlang(n) risk process252 cited
  • 1994On the Mathematical Theory of Risk196 cited
  • 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin157 cited
  • 1998Ruin probabilities for Erlang(2) risk processes88 cited
  • 1998On a Class of Renewal Risk Processes78 cited
  • 2014Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory64 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work