Moment and polynomial bounds for ruin-related quantities in risk theory
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Publication:2672152
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Cites work
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- A saddlepoint approximation to the probability of ruin in the compound Poisson process with diffusion
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- Aspects of risk theory
- Bounding Option Prices by Semidefinite Programming: A Cutting Plane Algorithm
- Bounding stationary averages of polynomial diffusions via semidefinite programming
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- Computational methods in risk theory: a matrix-algorithmic approach
- Dependence properties and bounds for ruin probabilities in multivariate compound risk models
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
- Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion
- Fourier-cosine method for finite-time Gerber-Shiu functions
- Fourier-cosine method for ruin probabilities
- Fourier/Laplace Transforms and Ruin Probabilities
- GloptiPoly 3: moments, optimization and semidefinite programming
- Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
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- Measuring impact of random jumps without sample path generation
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- Recursive calculation of finite-time ruin probabilities
- Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
- Ruin models with investment income
- Ruin probabilities
- Ruin probabilities with compounding assets
- SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
- Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion
- Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
- The expected discounted penalty function: from infinite time to finite time
- The probability of ruin in finite time with discrete claim size distribution
- Two-Sided Bounds for the Finite Time Probability of Ruin
- Two-sided bounds of ruin probabilities
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