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~person:"Burnecki, Krzysztof"
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change of measure
3
exponential distribution
2
multidimensional risk process
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non-life insurance
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reinsurance
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ruin probability
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Burnecki, Krzysztof
Date, Paresh
2
Mamon, Rogemar
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Mijatovi´c, Aleksandar
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Sandmann, Klaus
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Schneider, Paul
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Tenyakov, Anton
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Teuerle, Marek A.
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Ruin probability for the insurer-reinsurer model for exponential claims: A probabilistic approach
Burnecki, Krzysztof
;
Teuerle, Marek A.
;
Wilkowska, …
- In:
Risks
9
(
2021
)
5
,
pp. 1-10
change
of
measure
technique. We illustrate the admissible range of parameters of the risk process. We also justify our result …
Persistent link: https://www.econbiz.de/10013200754
Saved in:
2
Ruin probability for the insurer-reinsurer model for exponential claims : a probabilistic approach
Burnecki, Krzysztof
;
Teuerle, Marek A.
;
Wilkowska, …
- In:
Risks : open access journal
9
(
2021
)
5
,
pp. 1-10
change
of
measure
technique. We illustrate the admissible range of parameters of the risk process. We also justify our result …
Persistent link: https://www.econbiz.de/10012508823
Saved in:
3
Simulation of Pickands constants
Burnecki, Krzysztof
;
Michna, Zbigniew
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2002
numerically Pickands constants by the use of
change
of
measure
technique. To this end we apply two different algorithms to …
Persistent link: https://www.econbiz.de/10009003623
Saved in:
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