Value at Ruin and Tail Value at Ruin of the Compound Poisson Process with Diffusion and Efficient Computational Methods
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DOI: 10.1007/s11009-012-9316-5
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Cited by:
- Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
- Riccardo Gatto & Benjamin Baumgartner, 2016. "Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 217-235, March.
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Keywords
Coherent measure of risk; Daniels’ exponent; Fast Fourier transform; Lundberg’s exponent; Probability of ruin; Probabilites of ruin due to claim and to oscillation; Richardson’s extrapolation; Saddlepoint approximation; Stability; Upper and lower bounds;All these keywords.
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