On A Surplus Process Under A Periodic Environment

DOI10.1080/10920277.2004.10596172MaRDI QIDQ5715977zbMATH OpenOpenAlexFDO

Authors Manuel Morales

Publication date 6 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2004.10596172

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Conjugate processes and the simulation of ruin problems
• Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• Ruin probabilities expressed in terms of ladder height distributions

Cited in

(5)

• Risk aggregation based on the Poisson INAR(1) process with periodic structure
• An extreme-value theory approximation scheme in reinsurance and insurance-linked securities
• Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk
• On sums of independent generalized Pareto random variables with applications to insurance and cat bonds
• Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing

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