Generalized Poisson Models and their Applications in Insurance and Finance
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- Stochastic successive approximation method for assessing the insolvency risk of an insurance company
- Extremal limit theorems for observations separated by random power law waiting times
- Probabilistic issues in the node synchronization problem for large distributed systems
- Asymptotic expansion for the distribution density function of the compound Poisson process in large deviations
- Limit theorems for mixed max-sum processes with renewal stopping
- Random observations of marked Cox processes. Time insensitive functionals
- Asymptotic behavior of generalized nonordinary Cox processes
- Generalized negative binomial distributions as mixed geometric laws and related limit theorems
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Risk process approximation with mixing
- Fractional risk process in insurance
- Statistical decomposition of volatility
- On fluctuations of a multivariate random walk with some applications to stock options trading and hedging
- Asymptotics for ratios with applications to reinsurance
- Modeling high-frequency non-homogeneous order flows by compound Cox processes
- Limit theorems for generalized risk processes
- A general multiparameter version of Gnedenko's transfer theorem
- An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- On convergence of the distributions of random sequences with independent random indexes to variance-mean mixtures
- Improved Asymptotics for Ruin Probabilities
- Optimal learning with local nonlinear parametric models over continuous designs
- A class of generalized compound Poisson processes
- Product representations for random variables with Weibull distributions and their applications
- A note on mixture representations for the Linnik and Mittag-Leffler distributions and their applications
- A note on functional limit theorems for compound Cox processes
- Dilated Poisson processes and their applications in finance
- Random Walk Analysis in Antagonistic Stochastic Games
- Optimal learning for nonlinear parametric belief models over multidimensional continuous spaces
- Nonlinearly perturbed stochastic processes and systems
- Edgeworth type expansion of ruin probability under Lévy risk processes in the small loading asymptotics
- Limit distributions for doubly stochastically rarefied renewal processes and their properties
- Necessary and sufficient conditions for convergence of first-rare-event-time processes for perturbed semi-Markov processes
- Poisson-logarithmic risk process and applications
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- scientific article; zbMATH DE number 1865404 (Why is no real title available?)
- Precise large deviations for sums of random variables with consistently varying tails
- Asymptotic results for over-dispersed operational risk by using the asymptotic expansion method
- On the accuracy of approximation of the negative binomial distribution by the gamma distribution and convergence rate of the distributions of some statistics to the Student distribution
- Estimates for the rate of convergence in the global CLT for compound mixed Poisson distributions
- A functional approach to estimation of the parameters of generalized negative binomial and gamma distributions
- Cox process functional learning
- Convergence in distribution for randomly stopped random fields
- scientific article; zbMATH DE number 3892442 (Why is no real title available?)
- Calculation of the deficiency of some statistical estimators constructed from samples with random sizes
- Convergence of statistics constructed from samples with random sizes to the Linnik and Mittag-Leffler distributions and their generalizations
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process
- Group sequential tests: beyond exponential family models
- Flows of rare events for regularly perturbed semi-Markov processes
- Estimates of the rate of convergence in the limit theorem for negative binomial random sums
- Simultaneous transformation and rounding (STAR) models for integer-valued data
- An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
- Burr's distribution for asymptotic studies of the behavior of an insurance company's reserve
- Skorokhod \(\mathsf{J} \)-convergence for randomly stopped Markov processes
- On the average total reserve of an insurance company with a random number of clients
- Methods of Poisson approximation
- On the asymptotic behavior of the power of tests based on random sample sizes
- Limit theorems for continuous-time random walks in the double-array limit scheme
- Limit theorems for randomly stopped stochastic processes
- On normal variance-mean mixtures as limit laws for statistics with random sample sizes
- Modelling the mean of a doubly stochastic Poisson process by functional data analysis
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