Risk process approximation with mixing
From MaRDI portal
Publication:2284435
DOI10.1016/j.apm.2016.08.028zbMath1443.91005OpenAlexW2510650447WikidataQ56605335 ScholiaQ56605335MaRDI QIDQ2284435
Milan Stehlík, Pavlina Jordanova, 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
Risk models (general) (91B05) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10)
Related Items
Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications, Approximating the classical risk process by stable Lévy motion, A ruin model with a resampled environment, Stochastic reserving using policyholder information via EM algorithm
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- 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
- Aspects of risk theory
- A general theorem on the limit behavior of superpositions of independent random processes with applications to Cox processes
- Stable Lévy motion approximation in collective risk theory
- Explicit ruin formulas for models with dependence among risks
- Stochastic-Process Limits
- An improvement of the Berry–Esseen inequality with applications to Poisson and mixed Poisson random sums
- Exact Likelihood Ratio Testing for Homogeneity of the Exponential Distribution
- Size and Power of Recent Tests for Homogeneity in Exponential Mixtures
- Generalized Poisson Models and their Applications in Insurance and Finance
- Random Time-Changed Extremal Processes
- Diffusion approximations in collective risk theory
- Limit theorems for occupation times of Markov processes
- Risk processes with random interest rates
