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  • Search: subject:"Ruin Probability"
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Year of publication
Subject
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Risiko 107 Risk 107 Theorie 107 Theory 107 Risikomodell 106 Risk model 106 Ruin probability 105 Probability theory 104 Wahrscheinlichkeitsrechnung 104 ruin probability 70 Actuarial mathematics 58 Versicherungsmathematik 58 Statistical distribution 35 Statistische Verteilung 35 Stochastic process 33 Stochastischer Prozess 33 Risikomanagement 31 Risk management 31 Insolvency 28 Insolvenz 28 Reinsurance 21 Portfolio selection 19 Portfolio-Management 19 Rückversicherung 18 Insurance 17 Markov chain 16 Finanzmathematik 15 Markov-Kette 15 Mathematical finance 15 Asymptotics 14 Finite-time ruin probability 14 Versicherung 14 Risk process 10 Dividend 9 Dependence 8 Dividende 8 Estimation theory 7 Risk measure 7 Schätztheorie 7 risk process 7
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Online availability
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Undetermined 126 Free 80 CC license 12
Type of publication
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Article 198 Book / Working Paper 30
Type of publication (narrower categories)
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Article in journal 119 Aufsatz in Zeitschrift 119 Article 18 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Working Paper 4 research-article 2
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Language
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English 160 Undetermined 68
Author
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Constantinescu, Corina 12 Loisel, Stéphane 12 Burnecki, Krzysztof 9 Hipp, Christian 6 Zhang, Zhimin 6 Landriault, David 5 Lefèvre, Claude 5 Li, Jinzhu 5 Li, Shuanming 5 Mandjes, Michel 5 Palmowski, Zbigniew 5 Willmot, Gordon E. 5 Cheung, Eric C. K. 4 Dassios, Angelos 4 Ivanovs, Jevgenijs 4 Ji, Lanpeng 4 Picard, Philippe 4 Trufin, Julien 4 Albrecher, Hansjörg 3 Chen, Yiqing 3 Chernobai, Anna 3 Coppola, Mariarosaria 3 Dickson, David C. M. 3 Dimitrova, Dimitrina S. 3 Dębicki, Krzysztof 3 Fernández, Begoña 3 Hashorva, Enkelejd 3 Jiang, Zhengjun 3 Kaishev, Vladimir K. 3 Karageyik, Başak Bulut 3 Lefevre, Claude 3 Li, Bin 3 Li, Jingchao 3 Loke, Sooie-Hoe 3 Lu, Yi 3 Michna, Zbigniew 3 Ni, Weihong 3 Orlando, Albina 3 Rachev, Svetlozar 3 Reis, Alfredo D. Egídio dos 3
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Institution
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HAL 10 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 6 London School of Economics (LSE) 2 Centro di Ricerca Interdipartimentale in Sviluppo Economico e Istituzioni (CRISEI), Università degli Studi di Napoli - "Parthenope" 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 ESSEC Business School 1 Facultat d'Economia i Empresa, Universitat de Barcelona 1 Université Paris-Dauphine (Paris IX) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
All
Insurance / Mathematics & economics 45 Risks : open access journal 24 Scandinavian actuarial journal 24 Insurance: Mathematics and Economics 23 Risks 19 Statistics & Probability Letters 10 Post-Print / HAL 7 HSC Research Reports 6 Computational Statistics 5 Astin bulletin : the journal of the International Actuarial Association 4 Mathematical Methods of Operations Research 4 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 3 European journal of operational research : EJOR 3 Working Papers / HAL 3 Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne 3 Asia-Pacific journal of risk and insurance : APJRI 2 Finance and stochastics 2 Journal of Risk Finance 2 LSE Research Online Documents on Economics 2 Stochastic Processes and their Applications 2 The Journal of Risk Finance 2 Annals of Faculty of Economics 1 Asian Agricultural Research 1 Carlo Alberto Notebooks 1 Discussion Papers / Centro di Ricerca Interdipartimentale in Sviluppo Economico e Istituzioni (CRISEI), Università degli Studi di Napoli - "Parthenope" 1 ESSEC Working Papers 1 Economic modelling 1 Economics Letters 1 Economics Thesis from University Paris Dauphine 1 European Journal of Operational Research 1 European research studies 1 Insurance : mathematics and economics 1 International Game Theory Review (IGTR) 1 International Journal of Computational Economics and Econometrics 1 International Journal of Financial Research 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International game theory review 1 Journal of Risk and Financial Management 1 Journal of mathematical finance 1 Journal of risk 1
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Source
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ECONIS (ZBW) 123 RePEc 83 EconStor 19 Other ZBW resources 2 BASE 1
Showing 71 - 80 of 228
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Proportional reinsurance and investment in multiple risky assets under borrowing constraint
Yener, Haluk - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 396-418
Persistent link: https://www.econbiz.de/10012262747
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The equivalence of two tax processes
Al Ghanim, Dalal; Loeffen, Ronnie; Watson, Alexander R. - In: Insurance / Mathematics & economics 90 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012169491
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Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
Ken Seng Tan; Wei, Pengyu; Wei, Wei; Zhuang, Sheng Chao - In: European journal of operational research : EJOR 282 (2020) 1, pp. 345-362
Persistent link: https://www.econbiz.de/10012157700
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On double-boundary non-crossing probability for a class of compound processes with applications
Dimitrova, Dimitrina S.; Ignatov, Zvetan G.; Kaishev, … - In: European journal of operational research : EJOR 282 (2020) 2, pp. 602-613
Persistent link: https://www.econbiz.de/10012157879
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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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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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An optimization approach to adaptive multi-dimensional capital management
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 84 (2019), pp. 87-97
Persistent link: https://www.econbiz.de/10011990447
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Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar - In: Scandinavian actuarial journal 2019 (2019) 1, pp. 32-61
Persistent link: https://www.econbiz.de/10012194929
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Interplay of insurance and financial risks in a stochastic environment
Tang, Qihe; Yang, Yang - In: Scandinavian actuarial journal 2019 (2019) 5, pp. 432-451
Persistent link: https://www.econbiz.de/10012194959
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An application of fractional differential equations to risk theory
Constantinescu, Corina; Ramirez, Jorge M.; Zhu, Wei - In: Finance and stochastics 23 (2019) 4, pp. 1001-1024
Persistent link: https://www.econbiz.de/10012114683
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