A survey of some recent results on Risk Theory
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Publication:3451729
DOI10.1051/proc/201444020zbMath1338.62186OpenAlexW2113794699MaRDI QIDQ3451729
Landy Rabehasaina, Christophe Dutang, Stéphane Loisel, Florin Avram, Romain Biard
Publication date: 17 November 2015
Published in: ESAIM: Proceedings (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/proc/201444020
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- A Markov additive risk process in dimension 2 perturbed by a fractional Brownian motion
- A new look at the homogeneous risk model
- Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
- A ruin model with dependence between claim sizes and claim intervals
- Finite-time ruin probabilities for discrete, possibly dependent, claim severities
- A two-dimensional ruin problem on the positive quadrant
- Survival probability for a two-dimensional risk model
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Simple approximations of ruin probabilities
- On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
- Explicit ruin formulas for models with dependence among risks
- Competition among non-life insurers under solvency constraints: a game-theoretic approach
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- Recursive methods for a multi-dimensional risk process with common shocks
- 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
- A Two-Dimensional Risk Model with Proportional Reinsurance
- Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
- On a risk model with dependence between interclaim arrivals and claim sizes
- An alternative characterization for matrix exponential distributions
- Risk Processes with Interest Force in Markovian Environment
- A geometric interpretation of the relations between the exponential and generalized Erlang distributions
- A note on generalized hyperexponential distributions
- The probability of ruin in finite time with discrete claim size distribution
- Phase-type distributions and representations: Some results and open problems for system theory
- Matching moments to phase distributions: Mixtures of erlang distributions of common order
- On Joint Ruin Probabilities of a Two-Dimensional Risk Model with Constant Interest Rate
- Matching Three Moments with Minimal Acyclic Phase Type Distributions
- Exponential Behavior in the Presence of Dependence in Risk Theory
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