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On the time and aggregate claim amount until the surplus dropsbelow zero or reaches a safety level in a jump diffusion risk model

Boutsikasa, M. V.; Economidesa, D.-J.; Vaggelatou, E. - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 64-88

Persistent link: https://www.econbiz.de/10014519936

A stochastic model of group wealth responses to insurancemechanisms in low-income communities

Henshaw, Kira; Mandjes, Michel; Constantinescu, Corina - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 301-328

Persistent link: https://www.econbiz.de/10014520538

Cyber risk modeling : a discrete multivariate count process approach

Lu, Yang; Zhang, Jinggong; Zhu, Wenjun - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 625-655

Persistent link: https://www.econbiz.de/10015052473

Probabilistic hierarchical forecasting with deep Poisson mixtures

Olivares, Kin G.; Nganba Meetei, O.; Ma, Ruijun; Reddy, … - In: International journal of forecasting 40 (2024) 2, pp. 470-489

Persistent link: https://www.econbiz.de/10014547171

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can be predicted with certainty, i.e., that...

Persistent link: https://www.econbiz.de/10012203783

A center location model with stochastic demand points

Bhattacharya, U. K. - In: International journal of operations and quantitative … 21 (2015) 3, pp. 201-214

Persistent link: https://www.econbiz.de/10011429223

Analytical valuation of autocallable notes

Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011333447

Generalized almost stochastic dominance

Tsetlin, Ilia; Winkler, Robert L.; Huang, Rachel J.; … - In: Operations research 63 (2015) 2, pp. 363-377

Persistent link: https://www.econbiz.de/10010526703

Moment-implied densities : properties and applications

Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111

Persistent link: https://www.econbiz.de/10010380476

Finite time ruin probabilities for tempered stable insurance risk processes

Griffin, Philip S.; Maller, Ross A.; Roberts, Dale - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 478-489

Persistent link: https://www.econbiz.de/10010195908