Ruin probabilities - MaRDI portal

MaRDI QIDQ3560912zbMATH OpenFDO

Authors Søren Asmussen, Hansjörg Albrecher

Publication date 17 May 2010

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814282536/toc.shtml

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Aspects of risk theory
On multiply monotone distributions, continuous or discrete, with applications
The impact of insurance premium taxation
Parisian ruin for the dual risk process in discrete-time
Dividends: from refracting to ratcheting
Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
Deep factorisation of the stable process. II: Potentials and applications
Recovery of ruin probability and value at risk from the scaled Laplace transform inversion
Banach contraction principle and ruin probabilities in regime-switching models
Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
Integro-local theorems for multidimensional compound renewal processes, when Cramer's condition holds. I
Integro-local limit theorems for compound renewal processes under Cramér's condition. I
Interplay of subexponential and dependent insurance and financial risks
Some comparison results for finite-time ruin probabilities in the classical risk model
On the distribution of cumulative Parisian ruin
A generalization of Gerber's inequality for ruin probabilities in risk-switching models
On the moment-generating functions of extrema and their complements for almost semicontinuous integer-valued Poisson processes on Markov chains
Generalized Pickands constants and stationary max-stable processes
An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
Parisian ruin in the dual model with applications to the \(G/M/1\) queue
The risk model with stochastic premiums, dependence and a threshold dividend strategy
Duality in ruin problems for ordered risk models
Approximation of ruin probabilities via Erlangized scale mixtures
Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
Efficient simulation for dependent rare events with applications to extremes
Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
Large deviations and applications for Markovian Hawkes processes with a large initial intensity
A note on a Lévy insurance risk model under periodic dividend decisions
Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
On the resolvent of the Lévy process with matrix-exponential distribution of jumps
Conditioned real self-similar Markov processes
Approximations in the problem of level crossing by a compound renewal process
An IBNR-RBNS insurance risk model with marked Poisson arrivals
Ruin probability via quantum mechanics approach
Expected utility of the drawdown-based regime-switching risk model with state-dependent termination
Optimal dividends under Erlang(2) inter-dividend decision times
On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes
Regular variation of a random length sequence of random variables and application to risk assessment
On the dual risk model with Parisian implementation delays in dividend payments
Risk- and value-based management for non-life insurers under solvency constraints
An optimization approach to adaptive multi-dimensional capital management
Wealth investment strategies for insurance companies and the probability of ruin
Nonparametric estimation for a spectrally negative Lévy process based on high frequency data
Optimal investment with a constraint on ruin for a fuzzy discrete-time insurance risk model
Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
On fair reinsurance premiums; capital injections in a perturbed risk model
Ruin problem and how fast stochastic processes mix
Lévy systems and the time value of ruin for Markov additive processes
Monte Carlo estimation of the density of the sum of dependent random variables
An optimal reinsurance problem in the Cramér-Lundberg model
The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
Ruin probabilities for risk processes with non-stationary arrivals and subexponential claims
Survival probabilities in bivariate risk models, with application to reinsurance
On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
Optimal investment for an insurer under liquid reserves
Optimal reinsurance-investment and dividends problem with fixed transaction costs
A Fourier-cosine method for finite-time ruin probabilities
Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion
Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
Mixed fractional risk process
On scale functions for Lévy processes with negative phase-type jumps
Adaptation to climate change: extreme events versus gradual changes
Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
On the risk consistency and monotonicity of ruin theory
A \(2\times 2\) random switching model and its dual risk model
Shot-noise queueing models
Asymptotic statistics in insurance risk theory
Stable Lévy processes in a cone
Refinements of bounds for tails of compound distributions and ruin probabilities
Escape probabilities from an interval for compound Poisson processes with drift
Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations
Queueing and risk models with dependencies
More for less insurance model: an alternative to (re)insurance
Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times
Hidden regular variation for point processes and the single/multiple large point heuristic
Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
Stochastic mathematical model for the spread and control of corona virus
Bayesian optimal investment and reinsurance with dependent financial and insurance risks
On capital allocation for a risk measure derived from ruin theory
An optimal stopping problem for spectrally negative Markov additive processes
Martingales associated with functions of Markov and finite variation processes
Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
Some expressions of a generalized version of the expected time in the red and the expected area in red
Analysis of IBNR liabilities with interevent times depending on claim counts
On the risk of ruin in a SIS type epidemic
Second order asymptotics for infinite-time ruin probability in a compound renewal risk model
Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
An extension of Zolotarev's problem and some related results
S-shaped narrow framing, skewness and the demand for insurance
Blockchain mining in pools: analyzing the trade-off between profitability and ruin
Ruin probability for finite Erlang mixture claims via recurrence sequences
Uniform asymptotic estimates in a time-dependent risk model with general investment returns and multivariate regularly varying claims
Explicit results for the distribution of the number of customers served during a busy period for M^X/PH/1 queue
On \(2\times 2\) determinants originating from survival probabilities in homogeneous discrete time risk model
Biased random walk on the trace of biased random walk on the trace of \(\dots\)
The single server queue with mixing dependencies
Sensitivity of the stability bound for ruin probabilities to claim distributions
Parisian ruin with Erlang delay and a lower bankruptcy barrier
Integro-local theorems in boundary crossing problems for compound renewal processes

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