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~subject:"Time of ruin"
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Time of ruin
Hyperbolic conversion functions
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Iterated compositions
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Level sets estimation
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Multivariate probability distortions
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Multivariate risk measures
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Theorie
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Theory
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Kriging
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Risiko
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non-parametric estimation
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self-nested diagonal
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tail dependence
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Branch-and-Bound
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Brownian motion
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Finite-time ruin probability
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Golbal Optimisation
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Jump-diffusion process
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Probability theory
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Renewal-reward process
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Simplex
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Solvency II
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Transformations of Archimedean copula
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Wahrscheinlichkeitsrechnung
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influence function
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reliable ruin probability
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robustness
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Agrégation d'informations
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Archimedean copulas
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Bootstrap approach
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Bootstrap-Verfahren
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CDO tranches
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Distorsions de probabilités
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Estimation Risk Solvency Margin (ERSM)
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Estimation Risk Solvency Margin. (ERSM)
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Générateur de scénarios économiques
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Implied default distribution
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Blanchet-Scalliet, Christophette
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Dorobantu, Diana
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Rullière, Didier
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The density of the ruin time for a renewal-reward process perturbed by a diffusion
Blanchet-Scalliet, Christophette
;
Dorobantu, Diana
; …
-
HAL
-
2013
Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x
Persistent link: https://www.econbiz.de/10010899280
Saved in:
2
The density of the ruin time for a renewal-reward process perturbed by a diffusion
Blanchet-Scalliet, Christophette
;
Dorobantu, Diana
; …
-
HAL
-
2011
Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x
Persistent link: https://www.econbiz.de/10009322688
Saved in:
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