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Search: subject:"Ruin time"
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Risiko
6
Risikomodell
6
Risk
6
Risk model
6
Theorie
6
Theory
6
ruin probability
6
ruin time
6
Probability theory
5
Stochastic process
5
Stochastischer Prozess
5
Wahrscheinlichkeitsrechnung
5
Actuarial mathematics
4
Versicherungsmathematik
4
(in)finite time horizon
3
Insolvency
3
Insolvenz
3
Lévy subordinator
3
Ruin time
3
reserves prior to ruin
3
ruin severity
3
time reversal
3
Brownian motion
2
Finanzmathematik
2
Lévy insurance risk process
2
Lévy process
2
Mathematical finance
2
Parisian ruin
2
Statistical distribution
2
Statistische Verteilung
2
Time
2
Zeit
2
compound Poisson risk model
2
excess of loss reinsurance
2
heavy tails
2
largest claims reinsurance
2
Control theory
1
Convolution equivalent distributions
1
Cramér asymptotics
1
Cramér condition
1
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English
10
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3
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Griffin, Philip S.
3
Picard, Philippe
3
Fan, Yuguang
2
Lefèvre, Claude
2
Maller, Ross A.
2
Szimayer, Alexander
2
Wang, Tiandong
2
Bai, Long
1
Borovkov, Konstantin A.
1
Cheung, Eric C. K.
1
Frostig, Esther
1
Hernández, Camilo
1
Jasnovidov, Grigori
1
Junca, Mauricio
1
Lefevre, Claude
1
Maller, Ross
1
Moreno-Franco, Harold
1
Nguyen, Duy Phat
1
Palmowski, Zbigniew
1
Pitts, Susan M.
1
Politis, Konstadinos
1
Schaik, Kees van
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Wong, Jeff T. Y.
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Insurance / Mathematics & economics
3
Risks
3
Scandinavian actuarial journal
3
Insurance: Mathematics and Economics
2
Risks : open access journal
2
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ECONIS (ZBW)
8
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1
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
Nguyen, Duy Phat
;
Borovkov, Konstantin A.
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 72-81
Persistent link: https://www.econbiz.de/10014282476
Saved in:
2
Ruin probabilities for risk process in a regime-switching environment
Palmowski, Zbigniew
- In:
Scandinavian actuarial journal
2022
(
2022
)
7
,
pp. 565-590
Persistent link: https://www.econbiz.de/10013370724
Saved in:
3
The effects of largest claim and excess of loss reinsurance on a company's
ruin
time
and valuation
Fan, Yuguang
;
Griffin, Philip S.
;
Maller, Ross
; …
- In:
Risks
5
(
2017
)
1
,
pp. 1-27
's ruin probability,
ruin
time
and value as determined by the dividend discounting model. We find that LCR is at least as …
Persistent link: https://www.econbiz.de/10011709577
Saved in:
4
The effects of largest claim and excess of loss reinsurance on a company's
ruin
time
and valuation
Fan, Yuguang
;
Griffin, Philip S.
;
Maller, Ross A.
; …
- In:
Risks : open access journal
5
(
2017
)
1
,
pp. 1-27
’s ruin probability,
ruin
time
and value as determined by the dividend discounting model. We find that LCR is at least as …
Persistent link: https://www.econbiz.de/10011636215
Saved in:
5
Approximation of ruin probability and
ruin
time
in discrete Brownian risk models
Jasnovidov, Grigori
- In:
Scandinavian actuarial journal
2020
(
2020
)
8
,
pp. 718-735
Persistent link: https://www.econbiz.de/10012313725
Saved in:
6
Ruin
time
and severity for a Lévy subordinator claim process: A simple approach
Lefèvre, Claude
;
Picard, Philippe
- In:
Risks
1
(
2013
)
3
,
pp. 192-212
ruin severity, the reserves prior to ruin, and the Laplace transform of the
ruin
time
. Interestingly, the usual net profit …
Persistent link: https://www.econbiz.de/10010421266
Saved in:
7
Ruin
Time
and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Lefèvre, Claude
;
Picard, Philippe
- In:
Risks
1
(
2013
)
3
,
pp. 192-212
ruin severity, the reserves prior to ruin, and the Laplace transform of the
ruin
time
. Interestingly, the usual net profit …
Persistent link: https://www.econbiz.de/10010721971
Saved in:
8
A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes
Hernández, Camilo
;
Junca, Mauricio
;
Moreno-Franco, Harold
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 57-68
Persistent link: https://www.econbiz.de/10011825364
Saved in:
9
Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
Bai, Long
- In:
Scandinavian actuarial journal
(
2018
)
6
,
pp. 514-528
Persistent link: https://www.econbiz.de/10011939705
Saved in:
10
On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
Wong, Jeff T. Y.
;
Cheung, Eric C. K.
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 280-290
Persistent link: https://www.econbiz.de/10011428675
Saved in:
1
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