Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window
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References listed on IDEAS
- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
"Explicit ruin formulas for models with dependence among risks,"
Insurance: Mathematics and Economics,
Elsevier, vol. 48(2), pages 265-270, March.
- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
- Li, Bo & Ni, Weihong & Constantinescu, Corina, 2015. "Risk models with premiums adjusted to claims number," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 94-102.
- Afonso, Lourdes B. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 2009. "Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 39(01), pages 117-136, May.
- Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
- Søren Asmussen, 2014. "Modeling and Performance of Bonus-Malus Systems: Stationarity versus Age-Correction," Risks, MDPI, Open Access Journal, vol. 2(1), pages 1-25, March.
More about this item
Keywordsregenerative risk process; ruin probability; subexponential distribution; Cramér asymptotics; importance sampling; crude Monte Carlo; Markov additive process;
- C - Mathematical and Quantitative Methods
- G0 - Financial Economics - - General
- G1 - Financial Economics - - General Financial Markets
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
- M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
- M4 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting
- K2 - Law and Economics - - Regulation and Business Law
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