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On the distribution tail of an integrated risk model: A numerical approach

Brokate, M.; Klüppelberg, C.; Kostadinova, R.; Maller, R. - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 101-106

Persistent link: https://www.econbiz.de/10007905840

On the distribution tail of an integrated risk model: A numerical approach

Brokate, M.; Klüppelberg, C.; Kostadinova, R.; Maller, R. - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 101-107

Persistent link: https://www.econbiz.de/10008886710

On the distribution tail of an integrated risk model : a numerical approach

Brokate, M.; Klüppelberg, C.; Kostadinova, R.; Maller, R. - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 101-106

Persistent link: https://www.econbiz.de/10003681676

Hysteresis and phase transitions

Brokate, Martin; Sprekels, Jürgen - 1996

Persistent link: https://www.econbiz.de/10009700830

Asymptotic Properties of a Class of Mixture Models for Failure Data: The Interior and Boundary Cases

Vu, H.; Maller, R.; Zhou, X. - In: Annals of the Institute of Statistical Mathematics 50 (1998) 4, pp. 627-653

Persistent link: https://www.econbiz.de/10005395742

Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type

Szimayer, A.; Maller, R. - In: Statistical Inference for Stochastic Processes 7 (2004) 2, pp. 95-113

Persistent link: https://www.econbiz.de/10005616007

Tail behaviour of the busy period of a GI/GI/1 queue with subexponential service times

Baltrunas, A.; Daley, D. J.; Klüppelberg, C. - In: Stochastic Processes and their Applications 111 (2004) 2, pp. 237-258

This paper considers a stable GI/GI/1 queue with subexponential service time distribution. Under natural assumptions we derive the tail behaviour of the busy period of this queue. We extend the results known for the regular variation case under minimal conditions. Our method of proof is based on...

Persistent link: https://www.econbiz.de/10008875740

Delay in Claim Settlement and Ruin Probability Approximations

Klüppelberg, C.; Mikosch, T. - In: Scandinavian actuarial journal : Actuarial Society of … (1995) 2, pp. 154-168

Persistent link: https://www.econbiz.de/10005994450

Method of moment estimation in the COGARCH(1,1) model

Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M. - In: Econometrics Journal 10 (2007) 2, pp. 320-341

We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are strongly mixing with exponential rate, we show that the resulting estimators are consistent and...

Persistent link: https://www.econbiz.de/10005100103

Method of moment estimation in the COGARCH(1,1) model

Haug, S.; Klüppelberg, C.; Lindner, A.; Zapp, M. - In: The econometrics journal 10 (2007) 2, pp. 320-341

Persistent link: https://www.econbiz.de/10007743555