Review of statistical actuarial risk modelling

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Risk models (general) (91B05)

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Cites work

scientific article; zbMATH DE number 2130681 (Why is no real title available?)
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scientific article; zbMATH DE number 3312403 (Why is no real title available?)
scientific article; zbMATH DE number 3333061 (Why is no real title available?)
A Lévy Insurance Risk Process with Tax
A bootstrap procedure for estimating the adjustment coefficients
A generalized defective renewal equation for the surplus process perturbed by diffusion.
A new aspect of a risk process and its statistical inference
A note on the compound binomial model with randomized dividend strategy
A note on the expected present value of dividends with a constant barrier in the discrete time model
A process with stochastic claim frequency and a linear dividend barrier
A risk model with multilayer dividend strategy
An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
Classical numerical ruin probabilities
Constant dividend barrier in a risk model with interclaim-dependent claim sizes
De Finetti's optimal dividends problem with an affine penalty function at ruin
Discounted probabilities and ruin theory in the compound binomial model
Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
Empirical Laplace transform and approximation of compound distributions
Empirical bounds for ruin probabilities
Exponential Behavior in the Presence of Dependence in Risk Theory
Finite-time dividend-ruin models
From ruin theory to pricing reset guarantees and perpetual put options
Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
Introduction to probability models
Jump diffusion processes and their applications in insurance and finance
Lundberg's risk process with tax
Maximizing Dividends without Bankruptcy
Measuring the effects of reinsurance by the adjustment coefficient
Methods for estimating the optimal dividend barrier and the probability of ruin
Moments of discounted dividends for a threshold strategy in the compound Poisson risk model
Non-parametric estimation of the Gerber-Shiu function for the Wiener-Poisson risk model
Nonparametric Estimation of the Ruin Probability for Generalized Risk Processes
Nonparametric estimation of ruin probabilities given a random sample of claims
Nonparametric estimators for the probability of ruin
Nonparametric renewal function estimation
On Risk Model with Dividends Payments Perturbed by a Brownian Motion – An Algorithmic Approach
On Some alternative estimates of the adjustment coefficient in risk theory
On a class of renewal risk models with a constant dividend barrier
On a dual model with a dividend threshold
On a generalization from ruin to default in a Lévy insurance risk model
On a generalization of the Gerber-Shiu function to path-dependent penalties
On a perturbed Sparre Andersen risk model with threshold dividend strategy and dependence
On a risk model with dependence between interclaim arrivals and claim sizes
On exact solutions for dividend strategies of threshold and linear barrier type in a Sparre Andersen model
On the Time Value of Ruin
On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier
On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
On the distribution of the surplus prior to ruin
On the dual risk model with tax payments
On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
On the expected discounted penalty function for a perturbed risk process driven by a subordinator
On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
On the non-optimality of horizontal barrier strategies in the Sparre Andersen model
On the probability of ruin in the presence of a linear dividend barrier
Optimal Dividend Strategy in the Compound Poisson Model with Constant Interest
Optimal Dividends
Optimal Dividends in the Dual Model with Diffusion
Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
Optimal dividend problem with a terminal value for spectrally positive Lévy processes
Optimal dividends and capital injections in the dual model with diffusion
Optimal dividends in the dual model
Optimal dividends with incomplete information in the dual model
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
Optimal financing and dividend control of the insurance company with excess-of-loss reinsurance policy
Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
Optimal proportional reinsurance policies for diffusion models
Optimal risk and dividend distribution control models for an insurance company
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
Randomized dividends in the compound binomial model with a general premium rate
Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
Recursive calculation of finite-time ruin probabilities
Recursive calculation of the dividend moments in a multi-threshold risk model
Reinsurance and ruin
Risk theory for the compound Poisson process that is perturbed by diffusion
Risk theory with a nonlinear dividend barrier
Ruin probabilities for competing claim processes
Simulation methods in ruin models with nonlinear dividend barriers.
Some Optimal Dividends Problems
Some mathematical aspects of reinsurance
Strategies for dividend distribution: a review
The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
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The compound Poisson risk model with multiple thresholds
The compound binomial model with randomized decisions on paying dividends
The dilemma between dividends and safety and a generalization of the Lundberg-Cramér formulas
The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion
The expectation of aggregate discounted dividends for a Sparre Anderson risk process perturbed by diffusion
The surpluses immediately before and at ruin, and the amount of the claim causing ruin
The tax identity in risk theory - a simple proof and an extension

Cited in

(8)

Estimating the discounted density function of the deficit at ruin in a risk model with barrier dividend strategy
The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
Overview
The Gerber-Shiu discounted penalty function: a review from practical perspectives
Insurance risk assessment in the face of climate change: integrating data science and statistics
scientific article; zbMATH DE number 5990506 (Why is no real title available?)
Semiparametric estimation in the optimal dividend barrier for the classical risk model
Statistical estimation for some dividend problems under the compound Poisson risk model

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