Results 281 to 290 of about 21,700,063 (319)

Parametric inference for ruin probability in the classical risk model

Statistics & Probability Letters, 2018
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Oshime, Takayoshi, Shimizu, Yasutaka
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Approximations of the Optimal Dividends Barrier in Classical Risk Model

2010 International Conference of Information Science and Management Engineering, 2010
We consider methods for estimating the optimal dividend barrier in the classical risk model. If an individual claim is a mixtures of exponential probability density function, we obtain a closed form expression for expectation of the discounted dividends and exact value of the optimal dividends barrier by laplace transform.
Ling Tang, Huai Xu
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Computing ruin probability in the classical risk model

Automation and Remote Control, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Decision under Risk: The Classical Expected Utility Model

2008
. Ce chapitre d'ouvrage collectif a pour but de présenter les bases de la modélisation de la prise de décision dans un univers risqué. Nous commençons par définir, de manière générale, la notion de risque et d'accroissement du risque et rappelons des définitions et catégorisations (valables en dehors de tout modèle de représentation) de comportements ...
Chateauneuf, Alain, Cohen, Michèle, Tallon, Jean-Marc   +2 more
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Gerber–Shiu Analysis in the Classical Poisson Risk Model

2017
The central model in insurance surplus analysis is unquestionably the classical Poisson risk model. Due to its importance, this model is considered in this chapter. After presenting the underlying probabilistic structure, the fundamentally important Gerber-Shiu function is derived. The derivation is primarily algebraic, and this is done for two reasons.
Gordon E. Willmot, Jae-Kyung Woo
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Nonparametric estimation of the finite time ruin probability in the classical risk model

, 2017
Zhi-Min Zhang
semanticscholar   +1 more source

Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model

, 2017
A. Touazi, Zina Benouaret, D. Aïssani, S. Adjabi   +3 more
semanticscholar   +1 more source

Approximation of the Ultimate Ruin Probability in the Classical Risk Model Using Erlang Mixtures

, 2017
David J. Santana, J. González-Hernández, L. Rincón   +2 more
semanticscholar   +1 more source

Generalized Asset Value Credit Risk Models and Risk Minimality of the Classical Approach

2003
We place the asset value credit portfolio model in the larger context of generalized correlation models where the normal distribution assumption of asset returns is replaced by an abstract elliptical distribution. Based on closed-form solutions for homogenous portfolios, we show in particular that the classical asset value model is not robust ...
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Classical Risk Model with Investments in a Risk-Free Asset

2016
Yuliya Mishura, Olena Ragulina
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