scientific article; zbMATH DE number 2003409

MaRDI QIDQ4435489zbMATHFDO

Authors Alexander Melnikov

Publication date 13 November 2003

zbMATH Keywords

Black-Scholes modelsCramer-Lundberg models

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Stochastic models in economics (91B70)

Recommendations

• Risk Analysis in Finance and Insurance
• Introductory Stochastic Analysis for Finance and Insurance
• scientific article; zbMATH DE number 1249326
• Lectures on insurance models
• Mathematical methods for financial markets.

Cited in

(13)

• The expected discounted penalty function under a risk model with stochastic income
• Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
• The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
• Ruin problems with stochastic premium stochastic return on investments
• Measurement of bivariate risks by the north-south quantile points approach
• The Gerber-Shiu function and the generalized Cramér-Lundberg model
• Risk theory and reinsurance. Translated from the French by Urmie Ray
• On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes
• Ruin probabilities for a two-dimensional perturbed risk model with stochastic premiums
• Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
• On a class of stochastic models with two-sided jumps
• Modeling of claim exceedances over random thresholds for related insurance portfolios

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