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Contagion modeling between the financial and insurance markets with time changed processes. [PDF]
Insur Math Econ, 2017 Hainaut D.
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Modeling Of The Finite Time Ruin Probabilities For Insurance Companies
Всероссийский журнал научных публикаций, 2011 openaire +1 more source
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Recursive calculation of finite-time ruin probabilities
Insurance: Mathematics and Economics, 1988We develop a simple algorithm for the numerical calculation of finite- time ruin probabilities in a general discrete-time risk process model. These probabilities can be used for the calculation of approximations for the finite-time ruin probabilities in the classical actuarial risk model.
de Vylder, F., Goovaerts, M. J.
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An improved finite-time ruin probability formula and its Mathematica implementation
Insurance: Mathematics and Economics, 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ignatov, Zvetan G. +2 more
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Two-Sided Bounds for the Finite Time Probability of Ruin
Scandinavian Actuarial Journal, 2000Explicit, two-sided bounds are derived for the probability of ruin of an insurance company, whose premium income is represented by an arbitrary, increasing real function, the claims are dependent, integer valued r.v.s and their inter-occurrence times are exponentially, non-identically distributed.
Z. G. Ignatov, V. K. Kaishev
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Multirisks Model and Finite-Time Ruin Probabilities
Methodology And Computing In Applied Probability, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Picard, P. +2 more
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A Fourier-cosine method for finite-time ruin probabilities
Insurance: Mathematics and Economics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wing Yan Lee +4 more
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Bayesian estimation of finite time ruin probabilities
Applied Stochastic Models in Business and Industry, 2009AbstractIn this paper, we consider Bayesian inference and estimation of finite time ruin probabilities for the Sparre Andersen risk model. The dense family of Coxian distributions is considered for the approximation of both the inter‐claim time and claim size distributions.
Ausin, M. Concepcion +2 more
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