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Ruin theory with risk proportional to the free reserve and securitization

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  • Siegl, Thomas
  • F. Tichy, Robert

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  • Siegl, Thomas & F. Tichy, Robert, 2000. "Ruin theory with risk proportional to the free reserve and securitization," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 59-73, February.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:1:p:59-73
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    References listed on IDEAS

    as
    1. Corwin Joy & Phelim P. Boyle & Ken Seng Tan, 1996. "Quasi-Monte Carlo Methods in Numerical Finance," Management Science, INFORMS, vol. 42(6), pages 926-938, June.
    2. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
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    Cited by:

    1. Coulibaly, Ibrahim & Lefèvre, Claude, 2008. "On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 935-942, June.
    2. Hubalek, Friedrich & Schachermayer, Walter, 2004. "Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 193-225, April.
    3. Peter Kritzer & Gunther Leobacher & Michaela Szolgyenyi & Stefan Thonhauser, 2017. "Approximation methods for piecewise deterministic Markov processes and their costs," Papers 1712.09201, arXiv.org, revised Jan 2019.

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