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On a discrete-time two level NCD risk model
Wu, Xueyuan; Chen, Mi; Guo, Junyi - 2014
Persistent link: https://www.econbiz.de/10011342004
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Corrected phase-type approximations of heavy-tailed risk models using perturbation analysis
Vatamidou, Eleni; Adan, Ivo; Vlasiou, Maria; Zwart, Bert - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 366-378
Persistent link: https://www.econbiz.de/10010195917
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Asymptotic ruin probabilities for a multidimensional renewal risk model with multivariate regularly varying claims
Konstantinides, Dimitrios G.; Li, Jinzhu - In: Insurance / Mathematics & economics 69 (2016), pp. 38-44
Persistent link: https://www.econbiz.de/10011530921
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On the use of long-term risk measures as an approach to communicating risks
Ren, Jiandong - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 45-55
Persistent link: https://www.econbiz.de/10011410501
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Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
Cheung, Eric C. K.; Zhang, Zhimin - In: Scandinavian actuarial journal 2021 (2021) 9, pp. 804-831
Persistent link: https://www.econbiz.de/10012653689
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Functional sensitivity analysis of ruin probability in the classical risk models
Cheurfa, Fatah; Takhedmit, Baya; Ouazine, Sofiane; … - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 936-968
Persistent link: https://www.econbiz.de/10012696894
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On capital allocation for a risk measure derived from ruin theory
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 104 (2022), pp. 76-98
Persistent link: https://www.econbiz.de/10013264939
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An optimization approach to adaptive multi-dimensional capital management
Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 84 (2019), pp. 87-97
Persistent link: https://www.econbiz.de/10011990447
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Numerical ruin probability in the dual risk model with risk-free investments
Loke, Sooie-Hoe; Thomann, Enrique - In: Risks : open access journal 6 (2018) 4, pp. 1-13
In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the ruin probability can be well approximated...
Persistent link: https://www.econbiz.de/10011906144
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On dividends in the phase-type dual risk model
Bergel, Agnieszka I.; Rodríguez-Martínez, Eugenio V.; … - In: Scandinavian actuarial journal (2017) 9, pp. 761-784
Persistent link: https://www.econbiz.de/10011848663