Simulation of ruin probabilities for risk processes of Markovian type
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Publication:3148741
DOI10.1515/MCMA.2002.8.2.111zbMATH Open1014.91055OpenAlexW2087656665MaRDI QIDQ3148741FDOQ3148741
Authors: Josef Kantor, Hansjörg 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
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- A ruin model with dependence between claim sizes and claim intervals
- Claim dependence with common effects in credibility models
- Queues and Risk Processes with Dependencies
- Conjugate processes and the simulation of ruin problems
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- Numerical Calculation of Ruin Probabilities for Skip-Free Markov Chains
- On a risk model with dependence between claim sizes and claim intervals
- Bayesian ratemaking with common effects modeled by mixture of Pólya tree processes
- Empirical investigation of insurance claim dependencies using mixture models
- Ruin probabilities for Bayesian exchangeable claims processes
- Schur-constant and related dependence models, with application to ruin probabilities
- On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
- On asymptotically efficient simulation of ruin probabilities in a Markovian environment
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