Survival probabilities in bivariate risk models, with application to reinsurance
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Publication:2015629
DOI10.1016/j.insmatheco.2013.09.001zbMath1290.91077OpenAlexW1982299403MaRDI QIDQ2015629
Anna Castañer, M. Mercé Claramunt, Claude Lefèvre
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2445/102782
finite-time ruin probabilityrecursive methodsAppell algebraic structurediscrete or continuous timemultirisks modelstop-loss and excess of loss reinsurance
Related Items (5)
A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ Optimal reinsurance via Dirac-Feynman approach ⋮ Real options maximizing survival probability under incomplete markets ⋮ Optimal Control and Sensitivity Analysis for Two Risk Models
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