Stable Lévy motion approximation in collective risk theory
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References listed on IDEAS
- Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.
- Rafal Weron, 1996.
"Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables","
HSC Research Reports
HSC/96/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal, 1996. "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper 20761, University Library of Munich, Germany, revised 2010.
- Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, pages 165-171.
- Willekens, Eric, 1987. "On the supremum of an infinitely divisible process," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 173-175.
- Embrechts, P. & Veraverbeke, N., 1982. "Estimates for the probability of ruin with special emphasis on the possibility of large claims," Insurance: Mathematics and Economics, Elsevier, pages 55-72.
- Thorin, Olof & Wikstad, Nils, 1973. "Numerical evaluation of ruin probabilities for a finite period," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 7(02), pages 137-153, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kolkovska, Ekaterina T. & Martín-González, Ehyter M., 2016. "Gerber–Shiu functionals for classical risk processes perturbed by an α-stable motion," Insurance: Mathematics and Economics, Elsevier, pages 22-28.
- Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- Michna, Zbigniew, 2011. "Formula for the supremum distribution of a spectrally positive [alpha]-stable Lévy process," Statistics & Probability Letters, Elsevier, pages 231-235.
- Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
- Mercik, Szymon & Weron, Rafal, 1999. "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, pages 239-250.
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