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Risk Theory with the Gamma Process

Citations

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Cited by:

  1. Maxim Finkelstein & Ji Hwan Cha, 2021. "On degradation-based imperfect repair and induced generalized renewal processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 1026-1045, December.
  2. E. W. S. Kam & R. C. K. Leung & R. M. C. So & X. M. Li, 2007. "A Lattice Boltzmann Method For Computation Of Aeroacoustic Interaction," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 463-472.
  3. Claude Lefèvre & Philippe Picard, 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach," Risks, MDPI, vol. 1(3), pages 1-21, December.
  4. Bolancé, Catalina & Guillén, Montserrat & Pinquet, Jean, 2008. "On the link between credibility and frequency premium," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 209-213, October.
  5. Zied Ben Salah & Jos'e Garrido, 2017. "On Fair Reinsurance Premiums; Capital Injections in a Perturbed Risk Model," Papers 1710.11065, arXiv.org, revised Jun 2018.
  6. Luis Rincón & David J. Santana, 2022. "Ruin Probability for Finite Erlang Mixture Claims Via Recurrence Sequences," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 2213-2236, September.
  7. Ben Salah, Zied & Garrido, José, 2018. "On fair reinsurance premiums; Capital injections in a perturbed risk model," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 11-20.
  8. Mohamed Erraoui & Astrid Hilbert & Mohammed Louriki, 2020. "Bridges with Random Length: Gamma Case," Journal of Theoretical Probability, Springer, vol. 33(2), pages 931-953, June.
  9. Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias, 2007. "Optimal dividends in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 111-123, July.
  10. Gajda, J. & Wyłomańska, A. & Kumar, A., 2017. "Generalized fractional Laplace motion," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 101-109.
  11. Başak Bulut Karageyik & Şule Şahin, 2017. "Determination of the Optimal Retention Level Based on Different Measures," JRFM, MDPI, vol. 10(1), pages 1-21, January.
  12. Morales, Manuel, 2007. "On the expected discounted penalty function for a perturbed risk process driven by a subordinator," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 293-301, March.
  13. Zied Ben-Salah & H'el`ene Gu'erin & Manuel Morales & Hassan Omidi Firouzi, 2014. "On the Depletion Problem for an Insurance Risk Process: New Non-ruin Quantities in Collective Risk Theory," Papers 1406.6952, arXiv.org.
  14. Femminis Gianluca & Martini Gianmaria, 2010. "First-Mover Advantage in a Dynamic Duopoly with Spillover," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-46, November.
  15. Bohan Li & Junyi Guo, 2021. "Optimal Investment and Reinsurance Under the Gamma Process," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 893-923, September.
  16. van Noortwijk, J.M., 2009. "A survey of the application of gamma processes in maintenance," Reliability Engineering and System Safety, Elsevier, vol. 94(1), pages 2-21.
  17. Frenk, J.B.G. & Nicolai, R.P., 2007. "Approximating the randomized hitting time distribution of a non-stationary gamma process," Econometric Institute Research Papers EI 2007-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  18. Pradeep Agrawal & Sahoo Pravakar & Ranjan Kumar Dash, 2010. "Savings Behavior In India: Co-Integration And Causality Evidence," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 55(02), pages 273-295.
  19. Zhang, Huiming & Liu, Yunxiao & Li, Bo, 2014. "Notes on discrete compound Poisson model with applications to risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 325-336.
  20. Zhu, Xiaoyan & Hao, Yaqian, 2021. "Component rearrangement and system replacement for a system with stochastic degradation processes," Reliability Engineering and System Safety, Elsevier, vol. 213(C).
  21. Hao, Xuemiao & Li, Xuan & Shimizu, Yasutaka, 2013. "Finite-time survival probability and credit default swaps pricing under geometric Lévy markets," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 14-23.
  22. Başak Bulut Karageyik & Şule Şahin, 2016. "Optimal Retention Level for Infinite Time Horizons under MADM," Risks, MDPI, vol. 5(1), pages 1-24, December.
  23. van Noortwijk, J.M. & van der Weide, J.A.M. & Kallen, M.J. & Pandey, M.D., 2007. "Gamma processes and peaks-over-threshold distributions for time-dependent reliability," Reliability Engineering and System Safety, Elsevier, vol. 92(12), pages 1651-1658.
  24. Noba, Kei & Pérez, José-Luis & Yamazaki, Kazutoshi & Yano, Kouji, 2018. "On optimal periodic dividend strategies for Lévy risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 29-44.
  25. Loeffen, R.L., 2009. "An optimal dividends problem with transaction costs for spectrally negative Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 41-48, August.
  26. Lee, Wing Yan & Li, Xiaolong & Liu, Fangda & Shi, Yifan & Yam, Sheung Chi Phillip, 2021. "A Fourier-cosine method for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 256-267.
  27. Gerber, Hans U. & Shiu, Elias S.W. & Smith, Nathaniel, 2008. "Methods for estimating the optimal dividend barrier and the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 243-254, February.
  28. Bäuerle, Nicole & Blatter, Anja, 2011. "Optimal control and dependence modeling of insurance portfolios with Lévy dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 398-405, May.
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