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  • Search: subject:"Finite-time ruin probability"
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Year of publication
Subject
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Finite-time ruin probability 14 Risiko 13 Risikomodell 13 Risk 13 Risk model 13 Probability theory 12 Theorie 12 Theory 12 Wahrscheinlichkeitsrechnung 12 Actuarial mathematics 10 Versicherungsmathematik 10 Statistical distribution 7 Statistische Verteilung 7 Finite time ruin probability 5 Finanzmathematik 4 Mathematical finance 4 finite-time ruin probability 4 Asymptotics 3 robustness 3 (Exponential) classical Appell polynomials 2 Alarm time 2 Appell algebraic structure 2 Capital allocation 2 Dependence 2 Discrete or continuous time 2 Dual (dependent) risk model 2 Heavy-tailed distribution 2 Insurance and financial risks 2 Multirisks model 2 Product 2 Recursive methods 2 Risikomanagement 2 Risk management 2 Solvency II 2 Stop-loss and excess of loss reinsurance 2 Uniform asymptotics 2 Upper tail asymptotic independence 2 Widely lower orthant dependence 2 dependent compound renewal model 2 influence function 2
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Online availability
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Undetermined 12 Free 5
Type of publication
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Article 20 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 12 Aufsatz in Zeitschrift 12 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 16 Undetermined 8
Author
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Li, Jingchao 3 Li, Shuanming 3 Cheung, Eric C. K. 2 Dickson, David C. M. 2 Dimitrova, Dimitrina S. 2 Gao, Qingwu 2 Kaishev, Vladimir K. 2 Liu, Xijun 2 Loisel, Stéphane 2 Mazza, Christian 2 Rullière, Didier 2 Sun, Ying 2 Thampi, K. K. 2 Wei, Li 2 Willmot, Gordon E. 2 Zhao, Shouqi 2 Afonso, Lourdes B. 1 Cardoso, Rui M. R. 1 Castañer, A. 1 Castañer, Anna 1 Chen, Yiqing 1 Claramunt, M.M. 1 Claramunt, Maria Mercè 1 Feng, Runhuan 1 Guerreiro, Gracinda Rita 1 Hu, Xiang 1 Lau, Hayden 1 Lefevre, Claude 1 Lefèvre, C. 1 Liu, Fei 1 Liu, Jiajun 1 Lu, Yi 1 Reis, Alfredo D. Egídio dos 1 Volkmer, Hans W. 1 Wang, Wensheng 1 Wang, Yuebao 1 Woo, Jae-Kyung 1 Yao, Jing 1 Zhang, Yuanyuan 1 Zhang, Zhimin 1
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Institution
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HAL 2
Published in...
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Insurance / Mathematics & economics 6 Insurance: Mathematics and Economics 3 Statistics & Probability Letters 3 Post-Print / HAL 2 Scandinavian actuarial journal 2 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1 Astin bulletin : the journal of the International Actuarial Association 1 European Journal of Operational Research 1 European journal of operational research : EJOR 1 International Game Theory Review (IGTR) 1 International game theory review 1 Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne 1
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Source
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ECONIS (ZBW) 13 RePEc 10 EconStor 1
Showing 1 - 10 of 24
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de/10015325017
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Finite-time ruin probabilities using bivariate Laguerre series
Cheung, Eric C. K.; Lau, Hayden; Willmot, Gordon E.; … - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 153-190
Persistent link: https://www.econbiz.de/10014325041
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Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims
Cheung, Eric C. K.; Zhu, Wei - In: Insurance / Mathematics & economics 111 (2023), pp. 84-101
Persistent link: https://www.econbiz.de/10014316665
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Measuring the impact of a bonus-malus system in finite and continuous time ruin probabilities for large portfolios in motor insurance
Afonso, Lourdes B.; Cardoso, Rui M. R.; Reis, Alfredo … - In: Astin bulletin : the journal of the International … 47 (2017) 2, pp. 417-435
Persistent link: https://www.econbiz.de/10011729575
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Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes.
Loisel, Stéphane; Mazza, Christian; Rullière, Didier - HAL - 2009
The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities. So-called partly shifted risk processes are introduced, and used to derive an explicit...
Persistent link: https://www.econbiz.de/10008792404
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On finite-time ruin probabilities in a generalized dual risk model with dependence
Dimitrova, Dimitrina S.; Kaishev, Vladimir K.; Zhao, Shouqi - In: European Journal of Operational Research 242 (2015) 1, pp. 134-148
In this paper, we study the finite-time ruin probability in a reasonably generalized dual risk model, where we assume …
Persistent link: https://www.econbiz.de/10011117479
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On finite-time ruin probabilities in a generalized dual risk model with dependence
Dimitrova, Dimitrina S.; Kaishev, Vladimir K.; Zhao, Shouqi - In: European journal of operational research : EJOR 242 (2015) 1, pp. 134-148
Persistent link: https://www.econbiz.de/10010488026
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Ruin with insurance and financial risks following the least risky FGM dependence structure
Chen, Yiqing; Liu, Jiajun; Liu, Fei - In: Insurance / Mathematics & economics 62 (2015), pp. 98-106
Persistent link: https://www.econbiz.de/10011312084
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Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin.
Loisel, Stéphane; Mazza, Christian; Rullière, Didier - HAL - 2008
concepts of reliable finite-time ruin probability as a Value-at-Risk of the estimator of the finite-time ruin probability. To …
Persistent link: https://www.econbiz.de/10008791834
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Finite time ruin problems for the Markov-modulated risk model
Li, Jingchao; Dickson, David C. M.; Li, Shuanming - 2014
Persistent link: https://www.econbiz.de/10011342005
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