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Extreme behavior of multivariate phase-type distributions

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance: Mathematics and Economics 41 (2007) 2, pp. 223-233

Persistent link: https://www.econbiz.de/10005380573

Dependence and the asymptotic behavior of large claims reinsurance

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance: Mathematics and Economics 43 (2008) 3, pp. 407-411

We consider an extension of the classical compound Poisson risk model, where the waiting time between two consecutive claims and the forthcoming claim are no longer independent. Asymptotic tail probabilities of the reinsurance amount under ECOMOR and LCR treaties are obtained. Simulation results...

Persistent link: https://www.econbiz.de/10005374924

Extreme behavior of bivariate elliptical distributions

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance: Mathematics and Economics 41 (2007) 1, pp. 53-61

Persistent link: https://www.econbiz.de/10005375243

Extreme behavior of bivariate elliptical distributions

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance / Mathematics & economics 41 (2007) 1, pp. 53-61

Persistent link: https://www.econbiz.de/10007728695

Extreme behavior of multivariate phase-type distributions

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance / Mathematics & economics 41 (2007) 2, pp. 223-233

Persistent link: https://www.econbiz.de/10007753088

Dependence and the asymptotic behavior of large claims reinsurance

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 407-411

Persistent link: https://www.econbiz.de/10008149208

Dependence and the asymptotic behavior of large claims reinsurance

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 407-412

Persistent link: https://www.econbiz.de/10008893154

Extreme behavior of multivariate phase-type distributions

Asimit, Alexandru V.; Jones, Bruce L. - In: Insurance / Mathematics & economics 41 (2007) 2, pp. 223-233

Persistent link: https://www.econbiz.de/10003755640

Robustification and performance evaluation of empirical risk measures and other vector-valued estimators

Brazauskas, Vytaras; Jones, Bruce L.; Zitikis, Ricardas - In: Metron - International Journal of Statistics LXV (2007) 2, pp. 175-199

Persistent link: https://www.econbiz.de/10005111901

A critique of fractional age assumptions

Jones, Bruce L.; Mereu, John A. - In: Insurance: Mathematics and Economics 30 (2002) 3, pp. 363-370

Persistent link: https://www.econbiz.de/10005374672