Risk theory of the second and third kind

DOI10.1080/03461238.1995.10413948MaRDI QIDQ4844220zbMATH OpenOpenAlexFDO

Authors Paul Embrechts

Publication date 28 November 1995

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1995.10413948

zbMATH Keywords

catastrophesdiffusionsextremal eventsHarald Cramermartingalesreviewruin probabilitystochastic interest rates

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Finite-time Lundberg inequalities in the Cox case
• From planar Brownian windings to Asian options
• Half a century with probability theory: Some personal recollections
• scientific article; zbMATH DE number 425394 (Why is no real title available?)
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• On some exponential functionals of Brownian motion
• Risk theory in a stochastic economic environment
• Ruin problems with compounding assets
• Stochastic Discounting, Aggregate Claims, and the Bootstrap
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(3)

• Entwicklungstendenzen in der Risikotheorie. (Trends in risk theory)
• scientific article; zbMATH DE number 510905 (Why is no real title available?)
• On Cramér's first contributions to ruin theory

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