Nonparametric estimation of ruin probabilities given a random sample of claims
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- scientific article; zbMATH DE number 6122958
Cites work
- scientific article; zbMATH DE number 4090124 (Why is no real title available?)
- scientific article; zbMATH DE number 1958330 (Why is no real title available?)
- scientific article; zbMATH DE number 847232 (Why is no real title available?)
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Fourier/Laplace Transforms and Ruin Probabilities
- Linear integral equations
- New quadrature formulas for the numerical inversion of the Laplace transform
- Numerical inversion of characteristic functions
- Regularized inversion of noisy Laplace transforms
- Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday
- The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
- Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes
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- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Estimation of the expected discounted penalty function for Lévy insurance risks
- Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Nonparametric estimation of ruin probability by a new method in the perturbed compound Poisson model
- Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model
- Nonparametric estimation of the finite time ruin probability in the classical risk model
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- Functional sensitivity analysis of ruin probability in the classical risk models
- A consistent estimation of optimal dividend strategy in a risk model with delayed claims
- Nonparametric estimation of the expected discounted penalty function in the compound Poisson model
- Regularization and error estimate of infinite-time ruin probabilities for Cramer-Lundberg model
- On a generalization from ruin to default in a Lévy insurance risk model
- Nonparametric estimation of ruin probability by complex Fourier series expansion in the compound Poisson model
- Simple continuity inequalities for ruin probability in the classical risk model
- Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
- Nonparametric estimation for a spectrally negative Lévy risk process based on low-frequency observation
- Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Threshold estimation for a spectrally negative Lévy process
- Review of statistical actuarial risk modelling
- On a nonparametric estimator for ruin probability in the classical risk model
- The Gerber-Shiu discounted penalty function: a review from practical perspectives
- BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- On a nonparametric estimator for the finite time survival probability with zero initial surplus
- Interval estimation of the ruin probability in the classical compound Poisson risk model
- Approximation of the ruin probability using the scaled Laplace transform inversion
- Parametric inference for ruin probability in the classical risk model
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