Martingales and insurance risk
From MaRDI portal
Publication:3831908
Recommendations
- Ruin probabilities of a surplus process described by PDMPs
- Ruin theory for the risk process described by PDMPs
- Distribution of deficit at ruin for a PDMP insurance risk model
- Ruin estimation for a general insurance risk model
- Martingales and the distribution of the time to ruin.
- Approximation methods for piecewise deterministic Markov processes and their costs
- Conditional law of risk processes given that ruin occurs
- scientific article; zbMATH DE number 5631005
- Joint distribution of the extremes before ruin and the deficit in Markov-modulated risk models
Cited in
(94)- Finite-time Lundberg inequalities in the Cox case
- A multivariate stochastic hybrid model with switching coefficients and jumps: solution and distribution
- Regime-Switching Periodic Models For Claim Counts
- On the absolute ruin in a map risk model with debit interest
- Long-Term Risk: A Martingale Approach
- Ruin theory for the risk process described by PDMPs
- Absolute Ruin Probabilities in a Jump Diffusion Risk Model with Investment
- A Conversation With Paul Embrechts
- Optimal payout policy in presence of downside risk
- On some measures of the severity of ruin in the classical Poisson model
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions
- Martingales in life insurance
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- On absolute ruin minimization under a diffusion approximation model
- Ruin by dynamic contagion claims
- The use of vector-valued martingales in risk theory
- Computational methods in risk theory: a matrix-algorithmic approach
- scientific article; zbMATH DE number 3940564 (Why is no real title available?)
- Total Duration of Negative Surplus for the Risk Process with Constant Interest Force
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- On the expectation of total discounted operating costs up to default and its applications
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Martingales and the distribution of the time to ruin.
- On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
- Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times
- Approximation of Optimal Reinsurance and Dividend Payout Policies
- Optimisation in Non-Life Insurance
- Occupation measure and local time of classical risk processes
- Risk theory in a stochastic economic environment
- Differentiation of some functionals of risk processes, and optimal reserve allocation
- On the time value of absolute ruin with tax
- On a risk model with debit interest and dividend payments
- scientific article; zbMATH DE number 679624 (Why is no real title available?)
- A risk model with renewal shot-noise Cox process
- Minimization of absolute ruin probability under negative correlation assumption
- The probabilities of absolute ruin in the renewal risk model with constant force of interest
- scientific article; zbMATH DE number 3978236 (Why is no real title available?)
- Classical risk theory in an economic environment
- The effect of interest on negative surplus
- On the time value of absolute ruin with debit interest
- Strategies for dividend distribution: a review
- Piecewise deterministic Markov processes and their application to risk theory
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- Absolute ruin in the compound Poisson risk model with constant dividend barrier
- From ruin to bankruptcy for compound Poisson surplus processes
- Ruin theory with compounding assets -- a survey
- Conditional law of risk processes given that ruin occurs
- Lévy processes, phase-type distributions, and martingales
- Kalman-Bucy Filtering for Linear Systems Driven by the Cox Process with Shot Noise Intensity and Its Application to the Pricing of Reinsurance Contracts
- On occupation times for a risk process with reserve-dependent premium
- Absolute ruin problems for the risk processes with interest and a constant dividend barrier
- On the total operating costs up to default in a renewal risk model
- Martingale applicate alla teoria del rischio: Processi di guadagno a submartingala e aggiustabilità
- Total duration of negative surplus for the dual model
- On the distribution of the surplus of the D-E model prior to and at ruin
- The distribution of the interval between events of a Cox process with shot noise intensity
- The perturbed compound Poisson risk process with investment and debit interest
- Ruin theory with excess of loss reinsurance and reinstatements
- The expected time to ruin in a risk process with constant barrier via martingales
- An application of risk theory to mortgage lending
- Optimal strategies for impulse control of piecewise deterministic Markov processes
- On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps
- Ruin probabilities in the presence of heavy-tails and interest rates
- Optimizing venture capital investments in a jump diffusion model
- Doubly periodic non-homogeneous Poisson models for hurricane data
- Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
- Study of a risk model based on the entrance process
- On the time value of absolute ruin for a multi-layer compound Poisson model under interest force
- Mathematical model of banking operation
- Smoothness of certain functions in two kinds of risk models with a barrier dividend strategy
- Ruin probabilities of a surplus process described by PDMPs
- Approximations of piecewise deterministic Markov processes and their convergence properties
- Ruin probabilities under capital constraints
- Minimizing the probability of absolute ruin under ambiguity aversion
- Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
- Efficient simulation of Lévy-driven point processes
- The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case
- The first exit time and ruin time for a risk process with reserve-dependent income.
- On a mean reverting dividend strategy with Brownian motion
- Distribution of deficit at ruin for a PDMP insurance risk model
- Affine storage and insurance risk models
- A stochastic jump inventory model with deteriorating items
- Martingale results in risk theory with a view to ruin probabilities and diffusions
- On the time and the number of claims when the surplus drops below a certain level
- Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
- Approximation methods for piecewise deterministic Markov processes and their costs
- A GENERALIZED CONTAGION PROCESS WITH AN APPLICATION TO CREDIT RISK
- On the Gerber-Shiu discounted penalty function for a surplus process described by PDMPs
- Moments of renewal shot-noise processes and their applications
- Ruin probabilities in multivariate risk models with periodic common shock
- On the generalized Gerber-Shiu function for surplus processes with interest
- scientific article; zbMATH DE number 7662452 (Why is no real title available?)
- Dividend payments in the classical risk model under absolute ruin with debit interest
This page was built for publication: Martingales and insurance risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3831908)
