Estimation of the expected discounted penalty function for Lévy insurance risks (Q2261899): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Set OpenAlex properties.
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a generalization of the Gerber-Shiu function to path-dependent penalties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theoretical aspects of ill-posed problems in statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regularized inversion of noisy Laplace transforms / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the estimation of the adjustment coefficient in risk theory via intermediate order statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical Laplace transform and approximation of compound distributions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimators for the probability of ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Some alternative estimates of the adjustment coefficient in risk theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: A bootstrap procedure for estimating the adjustment coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric renewal function estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the discounted penalty at ruin in a jump-diffusion and the perpetual put option / rank
 
Normal rank
Property / cites work
 
Property / cites work: The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: From ruin theory to pricing reset guarantees and perpetual put options / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Time Value of Ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: Empirical bounds for ruin probabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ruin probabilities and decompositions for general perturbed risk processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of power variations of Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ruin probabilities and overshoots for general Lévy insurance risk processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: The tight constant in the Dvoretzky-Kiefer-Wolfowitz inequality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation of ruin probabilities given a random sample of claims / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the expected discounted penalty function for a perturbed risk process driven by a subordinator / rank
 
Normal rank
Property / cites work
 
Property / cites work: A risk model driven by Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local asymptotic normality of a sequential model for marked point processes and its applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4230625 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Gerber-Shiu function and change of measure / rank
 
Normal rank
Property / cites work
 
Property / cites work: A new aspect of a risk process and its statistical inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Functional estimation for Lévy measures of semimartingales with Poissonian jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: A generalized defective renewal equation for the surplus process perturbed by diffusion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: A decomposition of the ruin probability for the risk process perturbed by diffusion / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.3103/s1066530711020037 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3124467522 / rank
 
Normal rank

Latest revision as of 09:31, 30 July 2024

scientific article
Language Label Description Also known as
English
Estimation of the expected discounted penalty function for Lévy insurance risks
scientific article

    Statements

    Estimation of the expected discounted penalty function for Lévy insurance risks (English)
    0 references
    0 references
    13 March 2015
    0 references
    Lévy risk process
    0 references
    discrete observations
    0 references
    expected discounted penalty function
    0 references
    regularized Laplace inversion
    0 references
    ISE-consistency
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references