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  • Search: subject:"Multi-dimensional risk process"
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Subject
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Multi-dimensional risk process 2 Bayes-Statistik 1 Bayesian inference 1 Bayesian statistics 1 Common shock 1 Deficit at ruin 1 Gerber–Shiu expected discounted penalty function 1 Insurance 1 Insurance risk 1 Optimal allocation 1 Optimal capital allocation 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 Recursive methods 1 Risiko 1 Risikomanagement 1 Risikomodell 1 Risk 1 Risk management 1 Risk model 1 Ruin probability 1 Survival probability 1 Theorie 1 Theory 1 Versicherung 1 Wahrscheinlichkeitsrechnung 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Badescu, Andrei L. 1 Cheung, Eric C.K. 1 Delsing, G. A. 1 Gong, Lan 1 Mandjes, Michel 1 Spreij, P. J. C. 1 Winands, E. M. M. 1
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Insurance 1 Insurance: Mathematics and Economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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An optimization approach to adaptive multi-dimensional capital management
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance 84 (2019), pp. 87-97
Persistent link: https://www.econbiz.de/10011990447
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Recursive methods for a multi-dimensional risk process with common shocks
Gong, Lan; Badescu, Andrei L.; Cheung, Eric C.K. - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 109-120
In this paper, a multi-dimensional risk model with common shocks is studied. Using a simple probabilistic approach via observing the risk processes at claim instants, recursive integral formulas are developed for the survival probabilities as well as for a class of Gerber–Shiu expected...
Persistent link: https://www.econbiz.de/10010688104
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