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Nonparametric Estimation of Probability of Ruin
5 references·2 citing·24 second hop
Nonparametric Estimation of Probability of Ruin (1986)Nonparametric Estimation of Probability o…Approximations for the probability of ruin within finite time (1984)Approximations for the probab…Corrected diffusion approximations in certain random walk problems (1979)Corrected diffusion approxima…An introduction to mathematical risk theory (1979)An introduction to mathematic…Risk Theory: The Stochastic Basis of Insurance. (1978)Risk Theory: The Stochastic B…Calculation of Ruin Probabilities when the Claim Distribution is Lognormal (1977)Calculation of Ruin Probabili…Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model (2013)Nonparametric estimate of the…On a nonparametric estimator for ruin probability in the classical risk model (2012)On a nonparametric estimator …Some Limit Theorems in the Theory of Mass Service (1964)Inference About the Change-Point in a Sequence of Random Variables (1970)Simulation of Ruin Probabilities for Subexponential Claims (1997)Ruin theory with compounding assets — a survey (1998)Stochastic Processes for Insurance and Finance (2000)Stochastic Processes for Insurance and Finance (2001)Ruin probabilities and decompositions for general perturbed risk processes (2004)Fourier-cosine method for Gerber–Shiu functions (2015)Estimating Gerber–Shiu functions from discretely observed Lévy driven surplus (2017)Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)The Single Server Queue (1983)Computational methods in risk theory: A matrix-algorithmic approach (1992)Risk processes analyzed as fluid queues (2004)Stochastic Processes for Insurance & Finance (1999)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)Option pricing by Esscher transforms. (1995)Premium Calculation by Transforming the Layer Premium Density (1996)On the Time Value of Ruin (1998)Simple approximations of ruin probabilities (2000)Ruin theory revisited: stochastic models for operational risk (2002)Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models (2005)
this work references cited by second hop

References

  • 1979An introduction to mathematical risk theory914 cited
  • 1979Corrected diffusion approximations in certain random walk problems146 cited
  • 1978Risk Theory: The Stochastic Basis of Insurance.118 cited
  • 1984Approximations for the probability of ruin within finite time95 cited
  • 1977Calculation of Ruin Probabilities when the Claim Distribution is Lognormal55 cited

Cited by

  • 2013Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model34 cited
  • 2012On a nonparametric estimator for ruin probability in the classical risk model33 cited

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