Simulation of ruin probabilities for risk processes of Markovian type
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Publication:3148741
DOI10.1515/mcma.2002.8.2.111zbMath1014.91055OpenAlexW2087656665MaRDI QIDQ3148741
Josef Kantor, Hansjoerg Albrecher
Publication date: 22 September 2002
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2002.8.2.111
Related Items (9)
Queues and Risk Processes with Dependencies ⋮ Ruin probabilities for Bayesian exchangeable claims processes ⋮ On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities ⋮ Empirical investigation of insurance claim dependencies using mixture models ⋮ On a risk model with dependence between claim sizes and claim intervals ⋮ Schur-constant and related dependence models, with application to ruin probabilities ⋮ A ruin model with dependence between claim sizes and claim intervals ⋮ Claim dependence with common effects in credibility models ⋮ Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes
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