Risk process approximation with mixing
From MaRDI portal
Publication:2284435
DOI10.1016/J.APM.2016.08.028zbMATH Open1443.91005OpenAlexW2510650447WikidataQ56605335 ScholiaQ56605335MaRDI QIDQ2284435FDOQ2284435
Authors: Pavlina Jordanova, M. Stehlík, Yu. S. Nefedova 
Publication date: 15 January 2020
Published in: Applied Mathematical Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apm.2016.08.028
Recommendations
- Mixed Poisson process with Pareto mixing variable and its risk applications
- scientific article; zbMATH DE number 1865405
- Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
- Approximation of the risk process -- a survey
- On approximations of risk process with renewal arrivals in \(\alpha\)-stable domain
Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) Risk models (general) (91B05)
Cites Work
- Generalized Poisson Models and their Applications in Insurance and Finance
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic-Process Limits
- An improvement of the Berry-Esseen inequality with applications to Poisson and mixed Poisson random sums
- Limit theorems for occupation times of Markov processes
- Aspects of risk theory
- Stable Lévy motion approximation in collective risk theory
- Explicit ruin formulas for models with dependence among risks
- Mixed Poisson process with Pareto mixing variable and its risk applications
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- Approximation of the risk process -- a survey
- Random Time-Changed Extremal Processes
- Diffusion approximations in collective risk theory
- Risk processes with random interest rates
- A general theorem on the limit behavior of superpositions of independent random processes with applications to Cox processes
- Exact likelihood ratio testing for homogeneity of the exponential distribution
- Size and Power of Recent Tests for Homogeneity in Exponential Mixtures
Cited In (8)
- Stochastic reserving using policyholder information via EM algorithm
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- A ruin model with a resampled environment
- Approximating the classical risk process by stable Lévy motion
- Mixed Poisson process with Pareto mixing variable and its risk applications
- Mixed fractional risk process
- Value-at-risk via mixture distributions reconsidered
- Approximation of the risk process -- a survey
This page was built for publication: Risk process approximation with mixing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2284435)
