scientific article; zbMATH DE number 2172354
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Publication:4679848
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(only showing first 100 items - show all)- Confidence intervals for limited moments and truncated moments in normal and lognormal models
- Approximation of the tail probability of randomly weighted sums and applications
- Robust fitting of claim severity distributions and the method of trimmed moments
- Recovery process model for two companies
- A lifetime model with increasing failure rate
- Fast Fourier transform for multivariate aggregate claims
- On stochastic comparisons for population age and remaining lifetime
- Robust quantification of the exposure to operational risk: bringing economic sense to economic capital
- Exponential-uniform distribution
- Stochastic Pareto-optimal reinsurance policies
- The truncated g-and-h distribution: estimation and application to loss modeling
- I-delaporte process and applications
- On Poisson-exponential-Tweedie models for ultra-overdispersed count data
- Optimal non-proportional reinsurance control and stochastic differential games
- Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
- Bayesian total loss estimation using shared random effects
- Optimal allocation of policy deductibles for exchangeable risks
- Moments of truncated normal/independent distributions
- A generalization of Panjer's recursion and numerically stable risk aggregation
- A new class of models for heavy tailed distributions in finance and insurance risk
- A maximum-entropy approach to the linear credibility formula
- Optimal allocation of policy limits and deductibles
- Copula credibility for aggregate loss models
- The compound Poisson risk model with a threshold dividend strategy
- Optimal control of the surplus in an insurance policy
- Joint modelling of the total amount and the number of claims by conditionals
- On optimal dividends: from reflection to refraction
- Claim dependence induced by common effects in hierarchical credibility models
- Folded and log-folded-tdistributions as models for insurance loss data
- Composite lognormal-Pareto model with random threshold
- Stochastic projection for large individual losses
- Fitting bivariate losses with phase-type distributions
- Mixture Gaussian time series modeling of long-term market returns
- Collective risk model: Poisson-Lindley and exponential distributions for Bayes premium and operational risk
- The distribution of compound sums of Pareto distributed losses
- On the ordering of ruin probabilities for the surplus process perturbed by diffusion
- On Markov-Pólya Distribution and the Katz Family of Distributions
- Bayesian analysis of aggregate loss models
- Conditional Tail Moments of the Exponential Family and Its Related Distributions
- An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion.
- Nonparametric analysis of aggregate loss models
- Weakly Informative Reparameterizations for Location-Scale Mixtures
- A stochastic differential reinsurance game
- Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
- On the independence between risk profiles in the compound collective risk actuarial model
- INDUCED CORES AND THEIR USE IN ROBUST PARAMETRIC ESTIMATION
- A quantitative study of chain ladder based pricing approaches for long-tail quota shares
- Bifurcation of attritional and large losses in an additive IBNR environment
- New composite models for the Danish fire insurance data
- Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter
- Size-biased risk measures of compound sums
- Toward a unified approach to fitting loss models
- “Toward a Unified Approach to Fitting Loss Models”, Stuart Klugman and Jacques Rioux, January 2006
- On the class of Erlang mixtures with risk theoretic applications
- Robust and efficient methods for credibility when claims are approximately gamma-distributed
- Risk classification for claim counts: a comparative analysis of various zero-inflated mixed Poisson and hurdle models
- Ordering ruin probabilities resulting from layer-based claim amounts for surplus process perturbed by diffusion
- Multivariate models of equity returns for investment guarantees valuation
- Robust and efficient fitting of loss models
- COPULA REPRESENTATIONS FOR THE SUM OF DEPENDENT RISKS: MODELS AND COMPARISONS
- Non-homogeneous Pólya-Aeppli process
- Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages
- Nonparametric estimation in random sum models
- Incorporating heterogeneity into the prediction of total claim amount
- Modeling with Weibull-Pareto models
- Burn-in for Eliminating Weak Items in Heterogeneous Populations
- On the recursive evaluation of a certain multivariate compound distribution
- The Distribution of Sums of Certain I.I.D. Pareto Variates
- Optimal proportional reinsurance with a loss-dependent premium principle
- Estimation of the lognormal-Pareto distribution using probability weighted moments and maximum likelihood
- FAIR ACTUARIAL VALUES FOR DEDUCTIBLE INSURANCE POLICIES IN THE PRESENCE OF PARAMETER UNCERTAINTY
- Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
- On composite lognormal-Pareto models
- On the Moments of the Time of Ruin with Applications to Phase-Type Claims
- The Lomax regression model with residual analysis: an application to insurance data
- Loss Models
- Choice between and within the classes of Poisson-Tweedie and Poisson-exponential-Tweedie count models
- Time-Dependent Analysis of Some Infinite Server Queues with Bulk Poisson Arrivals
- Optimal allocation of policy limits in layer reinsurance treaties
- Dispersion models for extremes
- Methods for generating families of univariate continuous distributions in the recent decades
- An application of the Morgenstern family with standard two-sided power and gamma marginal distributions to the Bayes premium in the collective risk model
- A class of multivariate copulas with bivariate Fréchet marginal copulas
- Loss reserving using loss aversion functions
- Robust and efficient fitting of the generalized Pareto distribution with actuarial applications in view
- An insurance risk model with stochastic volatility
- A new approach to the credibility formula
- Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
- On the Lagrangian Katz family of distributions as a claim frequency model
- On discriminating between lognormal and Pareto tail: an unsupervised mixture-based approach
- Premium pricing under a ruin probability with policy deductible or with benefit limit
- Central limit theorems for associated possibly moving partial sums and application to the non-stationary invariance principles
- Investment and reinsurance with incomplete information and biased beliefs
- Risk sensitive control and an optimal reinsurance model of a network of insurance companies
- A parsimonious dynamic mixture for heavy-tailed distributions
- A dynamic framework for stop-loss and quota-share reinsurance: a comprehensive risk measurement approach
- Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
- Recovery process model
- On the expected discounted penalty functions for two classes of risk processes under a threshold dividend strategy
- Percentiles of sums of heavy-tailed random variables: beyond the single-loss approximation
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