A transient Cramér–Lundberg model with applications to credit risk
From MaRDI portal
Publication:5152521
DOI10.1017/jpr.2020.114zbMath1477.60073arXiv2005.06970OpenAlexW3200034787MaRDI QIDQ5152521
Guusje Delsing, M. R. H. Mandjes
Publication date: 24 September 2021
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.06970
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Gerber-Shiu risk theory
- Risk theory for the compound Poisson process that is perturbed by diffusion
- An optimization approach to adaptive multi-dimensional capital management
- Queues and Lévy fluctuation theory
- Introductory lectures on fluctuations of Lévy processes with applications.
- Stochastic simulation: Algorithms and analysis
- Ruin probabilities in models with a Markov chain dependence structure
- Approximations for the probability of ruin within finite time
- Applied Probability and Queues
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums
- Affine Storage and Insurance Risk Models
- A ruin model with a resampled environment
- NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
This page was built for publication: A transient Cramér–Lundberg model with applications to credit risk