Smoothed Estimators for Risk Processes (original) (raw)
Related papers
Smoothed Monte Carlo estimators for the time-in-the-red in risk processes
Mathematical Methods of Operations Research (ZOR), 2004
On the Existence of an Optimal Estimation Window for Risk Measures
SSRN Electronic Journal, 2000
Stochastic Processes and their Applications, 2003
Asymptotic tail probabilities of risk processes in insurance and finance
2018
Estimation of the expected discounted penalty function for Lévy insurance risks
Mathematical Methods of Statistics, 2011
Practical approaches to the estimation of the ruin probability in a risk model with additional funds
Modern Stochastics: Theory and Applications, 2015
Nonparametric Estimation of the Ruin Probability in the Classical Compound Poisson Risk Model
2020
Excesses, durations and forecasting value-at-risk
2011
Estimation of the expected discounted penalty function for L�vy insurance risks
Mathematical Methods of Statistics, 2011
Pricing foreseeable and unforeseeable risks in insurance portfolios
2020
A Doubly Smoothed PD Estimator in Credit Risk
Proceedings, 2020
Extremes on the discounted aggregate claims in a time dependent risk model
Scandinavian Actuarial Journal, 2010
The Computation of Risk Budgets under the Lévy Process Assumption
Olivier A Le Courtois, Christian P . Walter
Finance, 2014
Asymptotic Statistics in Insurance Risk Theory
SpringerBriefs in Statistics
Qihe Tang, Guojing Wang, Kam Yuen
Insurance: Mathematics and Economics, 2010
On the appropriate choice of the risk model
Applied Mathematical Sciences
Empirical estimation of the proportional hazard premium for heavy-tailed claim amounts
Insurance Mathematics & Economics, 2009
A Probabilistic Measure of Risk
On The Expected Discounted Penalty function for Lévy Risk Processes
North American Actuarial Journal, 2006
Estimating conditional tail expectation with actuarial applications in view
Journal of Statistical Planning and Inference, 2008
De Finetti on the Insurance of Risks and Uncertainties
The British Journal for the Philosophy of Science, 2012
POT-Based Estimation of the Renewal Function of Interoccurrence Times of Heavy-Tailed Risks
Journal of Probability and Statistics, 2010
Open Journal of Statistics, 2012
Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study
SSRN Electronic Journal
Risks
Scandinavian Actuarial Journal
Applied Mathematics, 2012
Risk Process with Random Income
Journal of Mathematical Sciences, 2000
Journal of Applied Probability, 2006
Distributional study of De Finetti's dividend problem for a general L�vy insurance risk process
J Appl Probab, 2007