Joint Insolvency Analysis of a Shared MAP Risk Process: A Capital Allocation Application (Q5379213): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1080/10920277.2016.1246254
+Normal rank
@@ Property / OpenAlex ID @@
+W2588246711
@@ Property / OpenAlex ID: W2588246711 / rank @@
+Normal rank
@@ Property / cites work @@
+On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals
+Normal rank
@@ Property / cites work @@
+Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
+Normal rank
@@ Property / cites work @@
+A two-dimensional ruin problem on the positive quadrant
+Normal rank
@@ Property / cites work @@
+A Two-Dimensional Risk Model with Proportional Reinsurance
+Normal rank
@@ Property / cites work @@
+Multivariate risk model of phase type
@@ Property / cites work: Multivariate risk model of phase type / rank @@
+Normal rank
@@ Property / cites work @@
+Dependence properties and bounds for ruin probabilities in multivariate compound risk models
+Normal rank
@@ Property / cites work @@
+Some results on ruin probabilities in a two-dimensional risk model.
+Normal rank
@@ Property / cites work @@
+Survival probability for a two-dimensional risk model
+Normal rank
@@ Property / cites work @@
+First Passage of a Markov Additive Process and Generalized Jordan Chains
+Normal rank
@@ Property / cites work @@
+Economic Capital Allocation Derived from Risk Measures
+Normal rank
@@ Property / cites work @@
+The Density of the Time to Ruin in the Classical Poisson Risk Model
+Normal rank
@@ Property / cites work @@
+“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model,” David Landriault and Gordon Willmot, Volume 13, No. 2, 2009
+Normal rank
@@ Property / cites work @@
+Ruin Theory in a Hidden Markov-Modulated Risk Model
+Normal rank
@@ Property / cites work @@
+Q4925766
@@ Property / cites work: Q4925766 / rank @@
+Normal rank
@@ Property / cites work @@
+Markov Chain Hitting Times
@@ Property / cites work: Markov Chain Hitting Times / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probabilities and optimal capital allocation for heterogeneous life annuity portfolios
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+The Time Value of Ruin in a Sparre Andersen Model
@@ Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank @@
+Normal rank
@@ Property / cites work @@
+Recursive methods for a multi-dimensional risk process with common shocks
+Normal rank
@@ Property / cites work @@
+Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
+Normal rank
@@ Property / cites work @@
+Occupation densities in solving exit problems for Markov additive processes and their reflections
+Normal rank
@@ Property / cites work @@
+On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution
+Normal rank
@@ Property / cites work @@
+On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model
+Normal rank
@@ Property / cites work @@
+Occupation times in the MAP risk model
@@ Property / cites work: Occupation times in the MAP risk model / rank @@
+Normal rank
@@ Property / cites work @@
+On a risk measure inspired from the ruin probability and the expected deficit at ruin
+Normal rank
@@ Property / cites work @@
+On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals
+Normal rank
@@ Property / cites work @@
+To split or not to split: Capital allocation with convex risk measures
+Normal rank
@@ Property / cites work @@
+Optimal capital allocation based on the tail mean-variance model
+Normal rank
@@ Property / cites work @@
+On the first time of ruin in the bivariate compound Poisson model
+Normal rank