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Inequalities and mathematical properties of uncertain variables

Tian, Jingfeng - In: Fuzzy optimization and decision making : a journal of … 10 (2011) 4, pp. 357-368

Persistent link: https://www.econbiz.de/10009425877

On a class of law invariant convex risk measures

Angelsberg, Gilles; Delbaen, Freddy; Kaelin, Ivo; … - In: Finance and stochastics 15 (2011) 2, pp. 343-363

Persistent link: https://www.econbiz.de/10009159083

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed … benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly … produce closed-form approximation of the risk measures for variable annuity guaranteed benefits. The techniques are further …

Persistent link: https://www.econbiz.de/10010464782

Efficient approximations for numbers of survivors in the Lee-Carter model

Ggbari, Samuel; Denuit, Michel - In: Insurance / Mathematics & economics 59 (2014), pp. 71-77

Persistent link: https://www.econbiz.de/10010469179

Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes

Heilpern, Stanislaw - In: Insurance / Mathematics & economics 59 (2014), pp. 251-257

Persistent link: https://www.econbiz.de/10010470011

Extended Gerber-Shiu functions in a risk model with interest

Schmidli, Hanspeter - In: Insurance / Mathematics & economics 61 (2015), pp. 271-275

Persistent link: https://www.econbiz.de/10010515872

Asymptotic finite-time ruin probability for bidimensional renewal risk model with constant interest force and dependent subexponential claims

Yang, Haizhong; Li, Jinzhu - In: Insurance / Mathematics & economics 58 (2014), pp. 185-192

Persistent link: https://www.econbiz.de/10010437565

Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests

Yu, Wenguang - In: Economic modelling 31 (2013), pp. 625-634

Persistent link: https://www.econbiz.de/10009731474

Methods for estimating the optimal dividend barrier and the probability of ruin

Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 243-254

Persistent link: https://www.econbiz.de/10003682219

Weighted premium calculation principles

Furman, Edward; Zitikis, Ričardas - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 459-465

Persistent link: https://www.econbiz.de/10003682584