Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
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DOI: 10.1007/s11009-009-9123-9
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References listed on IDEAS
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Citations
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Cited by:
- Goffard, Pierre-Olivier & Lefèvre, Claude, 2018. "Duality in ruin problems for ordered risk models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52.
- Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2016. "On the evaluation of finite-time ruin probabilities in a dependent risk model," Applied Mathematics and Computation, Elsevier, vol. 275(C), pages 268-286.
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes,"
Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.
- Stéphane Loisel, 2007. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00397269, HAL.
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
- Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
"On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing,"
Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 774-785.
- Christophe Dutang & C. Lefevre & S. Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-01616175, HAL.
- Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.
- Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
- Lefèvre, Claude & Picard, Philippe, 2011. "A new look at the homogeneous risk model," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519.
- Andrius Grigutis & Jonas Šiaulys, 2020. "Ultimate Time Survival Probability in Three-Risk Discrete Time Risk Model," Mathematics, MDPI, vol. 8(2), pages 1-30, January.
- Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2017. "On the First Crossing of Two Boundaries by an Order Statistics Risk Process," Risks, MDPI, vol. 5(3), pages 1-14, August.
- Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
- Claude Lefèvre & Philippe Picard, 2014. "Ruin Probabilities for Risk Models with Ordered Claim Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 885-905, December.
- Pierre-Olivier Goffard, 2019. "Fraud risk assessment within blockchain transactions," Working Papers hal-01716687, HAL.
- Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2019. "Ruin and Deficit Under Claim Arrivals with the Order Statistics Property," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 511-530, June.
- Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.
- Bihao Su & Chenglong Xu & Jingchao Li, 2022. "A Deep Neural Network Approach to Solving for Seal’s Type Partial Integro-Differential Equation," Mathematics, MDPI, vol. 10(9), pages 1-21, May.
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More about this item
Keywords
non-stationary claim arrivals; interdependent claim amounts; impact of dependence; comonotonic risks; heavy-tailed distributions; compound Poisson model; ruin probability; finite-time horizon; recursive methods; (generalized) Appell polynomials; non-constant premium;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2008-01-12 (Risk Management)
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