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Stable Lévy motion approximation in collective risk theory

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  • Furrer, Hansjorg
  • Michna, Zbigniew
  • Weron, Aleksander

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  • Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
  • Handle: RePEc:eee:insuma:v:20:y:1997:i:2:p:97-114
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June.
    4. Willekens, Eric, 1987. "On the supremum of an infinitely divisible process," Stochastic Processes and their Applications, Elsevier, vol. 26, pages 173-175.
    5. 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, vol. 1(1), pages 55-72, January.
    6. 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.
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    Cited by:

    1. 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, vol. 66(C), pages 22-28.
    2. 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.
    3. Michna, Zbigniew, 2011. "Formula for the supremum distribution of a spectrally positive [alpha]-stable Lévy process," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 231-235, February.
    4. 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.
    5. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.

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