scientific article; zbMATH DE number 1128584
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Publication:4380355
zbMATH Open0905.62104MaRDI QIDQ4380355FDOQ4380355
Authors: Stuart A. Klugman, Harry H. Panjer, Gordon E. Willmot 
Publication date: 12 March 1998
Title of this publication is not available (Why is that?)
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01)
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- Testing hypotheses about the equality of several risk measure values with applications in insurance
- Fitting bivariate cumulative returns with copulas
- A solution to the ruin problem for Pareto distributions.
- On the compound \(\alpha (t)\)-modified Poisson distribution
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- The Esscher premium principle in risk theory: A Bayesian sensitivity study
- The asymptotic behavior of a Brownian motion with a drift from a random domain
- Impact of dependence among multiple claims in a single loss
- Robust Bayesian bonus-malus premiums under the conditional specification model
- Efficient and Robust Fitting of Lognormal Distributions
- A longitudinal data analysis interpretation of credibility models
- A study of Bayesian local robustness with applications in actuarial statistics
- Claim dependence with common effects in credibility models
- Modeling actuarial data with a composite lognormal-Pareto model
- Optimal Dividends
- Influence functions of empirical nonparametric estimators of net reinsurance premiums
- Second-order minimax estimation of the mean value for exponential dispersion models
- NONLIFE INSURANCE PRICING: STATISTICAL MECHANICS VIEWPOINT
- Regression Models for Bivariate Loss Data
- Local multiplicative bias correction for asymmetric kernel density estimators
- Ruin theory in a financial corporation model with credit risk.
- Importance Sampling for Sums of Lognormal Distributions with Applications to Operational Risk
- General quadratic distance methods for discrete distributions definable recursively.
- Remarks on characterizations of Malinowska and Szynal
- Kernel density estimation of actuarial loss functions
- Sequential credibility evaluation for symmetric location claim distributions
- Modeling Catastrophes and their Impact on Insurance Portfolios
- Stochastic bounds on sums of dependent risks
- Multivariate Tweedie lifetimes: the impact of dependence
- From Brownian motion to operational risk: statistical physics and financial markets
- On characterization of certain distributions of \(k\)th lower (upper) record values
- Ruin Probabilities in the Compound Markov Binomial Model
- Equity and Credibility
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Robust confidence bounds for the mean of some count data models
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- On Stochastic Approximation and Credibility
- The beta Burr III model for lifetime data
- Aging and other distributional properties of discrete compound geometric distributions
- Semi-parametric specification tests for mixing distributions
- Loss Models
- The discrete-time risk model with correlated classes of business
- A new discrete distribution with actuarial applications
- Subjective risk measures: Bayesian predictive scenarios analysis
- Ruin probability and joint distributions of some actuarial random vectors in the compound Pascal model
- Recursive evaluation of aggregate claims distributions.
- Fisher information matrix for the Feller-Pareto distribution
- Recursions for compound phase distributions
- Joint probability generating function for a vector of arbitrary indicator variables
- On moments of \(k\)-th record values from the linear exponential distribution
- Credibility Using Copulas
- General affine transform families: why is the Pareto an exponential transform?
- Fractional Discrete Processes: Compound and Mixed Poisson Representations
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
- On asymptotic optimality in empirical Bayes credibility.
- Loss models. Further topics
- On the deficit distribution when ruin occurs -- discrete time model
- Empirical Estimation of Risk Measures and Related Quantities
- A discrete-time risk model with interaction between classes of business.
- Lorenz ordering of order statistics from log-logistic and related distributions
- Information Matrix for Pareto(IV), Burr, and Related Distributions
- Actuarial Modeling with MCMC and BUGs
- Comparing approximations for risk measures of sums of nonindependent lognormal random variables
- Fitting mixed-effects models when data are left truncated
- Univariate and multivariate versions of the negative binomial-inverse Gaussian distributions with applications
- On two dependent individual risk models.
- Precise large deviations for negatively associated random variables with consistently varying tails
- Modelling catastrophe claims with left-truncated severity distributions
- Generalized estimating equations for variance and covariance parameters in regression credibility models
- A Note on the Myers and Read Capital Allocation Formula
- On robustness in risk theory
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Robust and Efficient Estimation of the Tail Index of a Single-Parameter Pareto Distribution
- Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
- Multinomial model for random sums
- Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
- On a family of coherent measures of variability
- The negative binomial-inverse Gaussian regression model with an application to insurance ratemaking
- Modelling claim number using a new mixture model: negative binomial gamma distribution
- On \(k\)-th record times, record values and their moments
- Bounds for Ratios of Posterior Expectations: Applications in the Collective Risk Model
- On the transient analysis of the \(M^X/M/\infty\) queue
- PREMIUM FORECASTING OF AN INSURANCE COMPANY: AUTOMOBILE INSURANCE
- DERIVING ROBUST BAYESIAN PREMIUMS UNDER BANDS OF PRIOR DISTRIBUTIONS WITH APPLICATIONS
- Multivariate Credibility for Aggregate Loss Models
- Contaminated Exponential Dispersion Loss Models
- A family of variability measures based on the cumulative residual entropy and distortion functions
- A general class of trimodal distributions: properties and inference
- Bayesian estimators of the lognormal–Pareto composite distribution
- Reliability aspects of discrete equilibrium distributions
- Modelling losses using an exponential-inverse Gaussian distribution
- Title not available (Why is that?)
- Two-sided distributions with applications in insurance loss modeling
- Deficit distributions at ruin in a regime-switching Sparre Andersen model
- Banach contraction principle and ruin probabilities in regime-switching models
- Discrete half-logistic distributions with applications in reliability and risk analysis
- A bivariate model of claim frequencies and severities
- Some Asymptotic Formulas for a Brownian Motion From the Maximum and Minimum Complicated Domains
- A bimodal gamma distribution: properties, regression model and applications
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