Review of statistical actuarial risk modelling (Q4966720)

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Review of statistical actuarial risk modelling

scientific article; zbMATH DE number 7074257

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English	Review of statistical actuarial risk modelling	scientific article; zbMATH DE number 7074257

Statements

instance of

scholarly article

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title

Review of statistical actuarial risk modelling (English)

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27 June 2019

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zbMATH Keywords

ruin theory

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Gerber-Shiu function

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dividend

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statistical estimation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/23311835.2015.1123945

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cites work

On the dual risk model with tax payments

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The tax identity in risk theory - a simple proof and an extension

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On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times

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On the non-optimality of horizontal barrier strategies in the Sparre Andersen model

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A risk model with multilayer dividend strategy

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On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model

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On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier

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Lundberg's risk process with tax

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Risk theory with a nonlinear dividend barrier

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Simulation methods in ruin models with nonlinear dividend barriers.

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A Lévy Insurance Risk Process with Tax

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Exponential Behavior in the Presence of Dependence in Risk Theory

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Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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Strategies for dividend distribution: a review

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Optimal Dividends in the Dual Model with Diffusion

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Optimal dividends in the dual model

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Optimal dividends and capital injections in the dual model with diffusion

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Recursive calculation of the dividend moments in a multi-threshold risk model

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A note on the compound binomial model with randomized dividend strategy

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Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes

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On a generalization of the Gerber-Shiu function to path-dependent penalties

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On a risk model with dependence between interclaim arrivals and claim sizes

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Q5609896

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Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

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Measuring the effects of reinsurance by the adjustment coefficient

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Discounted probabilities and ruin theory in the compound binomial model

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Moments of discounted dividends for a threshold strategy in the compound Poisson risk model

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A note on the expected present value of dividends with a constant barrier in the discrete time model

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Nonparametric estimators for the probability of ruin

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On the estimation of the adjustment coefficient in risk theory via intermediate order statistics

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Empirical Laplace transform and approximation of compound distributions

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Recursive calculation of finite-time ruin probabilities

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Classical numerical ruin probabilities

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On Some alternative estimates of the adjustment coefficient in risk theory

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On the distribution of the surplus prior to ruin

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Reinsurance and ruin

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Q3158278

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Some Optimal Dividends Problems

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The surpluses immediately before and at ruin, and the amount of the claim causing ruin

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Risk theory for the compound Poisson process that is perturbed by diffusion

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A bootstrap procedure for estimating the adjustment coefficients

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Optimal Dividend Strategy in the Compound Poisson Model with Constant Interest

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On a generalization from ruin to default in a Lévy insurance risk model

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Nonparametric renewal function estimation

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On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier

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On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach

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The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas

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Q3868650

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On the probability of ruin in the presence of a linear dividend barrier

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On the Time Value of Ruin

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From ruin theory to pricing reset guarantees and perpetual put options

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Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends

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Optimal Dividends

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Maximizing Dividends without Bankruptcy

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Methods for estimating the optimal dividend barrier and the probability of ruin

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Optimal dividends with incomplete information in the dual model

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Empirical bounds for ruin probabilities

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Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

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Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs

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Optimal proportional reinsurance policies for diffusion models

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Ruin probabilities for competing claim processes

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Jump diffusion processes and their applications in insurance and finance

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Constant dividend barrier in a risk model with interclaim-dependent claim sizes

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Randomized dividends in the compound binomial model with a general premium rate

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Finite-time dividend-ruin models

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The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion

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On a class of renewal risk models with a constant dividend barrier

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The compound Poisson risk model with a threshold dividend strategy

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The compound Poisson risk model with multiple thresholds

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Optimal financing and dividend control of the insurance company with excess-of-loss reinsurance policy

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An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density

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De Finetti's optimal dividends problem with an affine penalty function at ruin

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The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion

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Nonparametric estimation of ruin probabilities given a random sample of claims

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On the expected discounted penalty function for a perturbed risk process driven by a subordinator

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On a dual model with a dividend threshold

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Introduction to probability models

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Q5592832

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A new aspect of a risk process and its statistical inference

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Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model

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A process with stochastic claim frequency and a linear dividend barrier

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Optimal risk and dividend distribution control models for an insurance company

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The compound binomial model with randomized decisions on paying dividends

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A generalized defective renewal equation for the surplus process perturbed by diffusion.

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Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion

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Some mathematical aspects of reinsurance

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Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy

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Optimal dividend problem with a terminal value for spectrally positive Lévy processes

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The compound Poisson process perturbed by a diffusion with a threshold dividend strategy

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On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence

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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

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Identifiers

zbMATH Open document ID

1426.62308

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DOI

10.1080/23311835.2015.1123945

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4966720