Insurance risk theory and statistical inference: beyond
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Cites work
- \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
- A class of approximations of ruin probabilities
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- A new aspect of a risk process and its statistical inference
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- A note on scale functions and the time value of ruin for Lévy insurance risk processes
- A quantitative comparison of stochastic mortality models using data from England and Wales and the United States
- A remark on ‘A class of approximations of ruin probabilities’
- Affine processes for dynamic mortality and actuarial valuations
- Applied Probability and Queues
- Aspects of risk theory
- Asymptotic statistics in insurance risk theory
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
- Consistent dynamic affine mortality models for longevity risk applications
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- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- Estimation of the expected discounted penalty function for Lévy insurance risks
- Fluctuations of Lévy processes with applications. Introductory lectures
- Gerber-Shiu risk theory
- scientific article; zbMATH DE number 3333061 (Why is no real title available?)
- Inference pitfalls in Lee-Carter model for forecasting mortality
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- Modeling and forecasting U.S. mortality. (With discussion)
- Modeling and management of mortality risk: a review
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- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- Nonparametric estimation of ruin probabilities given a random sample of claims
- Nonparametric estimators for the probability of ruin
- On a generalization from ruin to default in a Lévy insurance risk model
- On a generalization of the Gerber-Shiu function to path-dependent penalties
- On the Time Value of Ruin
- Option pricing when underlying stock returns are discontinuous
- Phase-type Fitting of scale functions for spectrally negative Lévy processes
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Ruin probabilities
- Ruin probabilities and decompositions for general perturbed risk processes.
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- Stochastic mortality under measure changes
- Survival energy models for mortality prediction and future prospects
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- The theory of scale functions for spectrally negative Lévy processes
- Threshold selection in jump-discriminant filter for discretely observed jump processes
- Uncertainty in mortality projections: an actuarial perspective
- Why does a human die? A structural approach to cohort-wise mortality prediction under survival energy hypothesis
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