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  • Search: subject:"Absolute ruin probability"
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Year of publication
Subject
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Insolvency 2 Insolvenz 2 Probability theory 2 Risiko 2 Risikomodell 2 Risk 2 Risk model 2 Theorie 2 Theory 2 Wahrscheinlichkeitsrechnung 2 Absolute ruin probability 1 Asymptotics 1 Conditional independence 1 Correlation 1 HJB equation 1 Korrelation 1 Negative correlation 1 Optimal investment 1 Optimal proportional reinsurance 1 Portfolio selection 1 Portfolio-Management 1 Random time absolute ruin probability 1 Reinsurance 1 Renewal risk model 1 Rückversicherung 1 absolute ruin probability 1 continued fractions 1 generalized Gerber–Shiu function 1 risk model with interest 1 ruin probability 1 special functions 1 two-sided first exit time 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Bai, Xiaodong 1 Li, Shuanming 1 Liang, Zongxia 1 Long, Mingsi 1 Lu, Yi 1 Song, Lixin 1
Published in...
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Insurance / Mathematics & economics 1 Statistics & Probability Letters 1 Working papers / Centre for Actuarial Studies, Department of Economics, The University of Melbourne 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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On the time and the number of claims when the surplus drops below a certain level
Li, Shuanming; Lu, Yi - 2014
Persistent link: https://www.econbiz.de/10011342003
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Minimization of absolute ruin probability under negative correlation assumption
Liang, Zongxia; Long, Mingsi - In: Insurance / Mathematics & economics 65 (2015), pp. 247-258
Persistent link: https://www.econbiz.de/10011428668
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Cover Image
Asymptotic behavior of random time absolute ruin probability with D∩L tailed and conditionally independent claim sizes
Bai, Xiaodong; Song, Lixin - In: Statistics & Probability Letters 82 (2012) 9, pp. 1718-1726
Consider the probability of random time absolute ruin in the renewal risk model with constant premium rate and constant force of interest. We assume that claim sizes Xi,i=1,2,…, are conditionally independent on some sigma algebra and that the common distribution belongs to class D∩L. We...
Persistent link: https://www.econbiz.de/10011039831
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