On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance (Q3607219)
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scientific article; zbMATH DE number 5521294
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| English | On Cramér-Lundberg approximations for ruin probabilities under optimal excess of loss reinsurance |
scientific article; zbMATH DE number 5521294 |
Statements
28 February 2009
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ruin probability
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heavy tail
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excess of loss reinsurance
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optimal stochastic control
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Cramér-Lundberg approximation
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adjustment coefficient
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Hamilton-Jacobi-Bellman equation
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0.873645544052124
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0.8685595393180847
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0.8498144149780273
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0.8463426828384399
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