Functional sensitivity analysis of ruin probability in the classical risk models
Fatah Cheurfa, Baya Takhedmit, Sofiane Ouazine and Karim Abbas
| Year of publication: |
2021
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|---|---|
| Authors: | Cheurfa, Fatah ; Takhedmit, Baya ; Ouazine, Sofiane ; Abbas, Karim |
| Subject: | Classical risk models | Markov risk bounds | Monte Carlo simulation | parameter uncertainty | ruin probability | sensitivity analysis | Sobol' indices | Taylor-series expansions | Risiko | Risk | Risikomodell | Risk model | Wahrscheinlichkeitsrechnung | Probability theory | Sensitivitätsanalyse | Sensitivity analysis | Theorie | Theory | Monte-Carlo-Simulation | Risikomanagement | Risk management | Insolvenz | Insolvency |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2021.1911840 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012696894