Review of statistical actuarial risk modelling

DOI10.1080/23311835.2015.1123945zbMath1426.62308OpenAlexW2232834172MaRDI QIDQ4966720

Publication date: 27 June 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2015.1123945

zbMATH Keywords

ruin theory statistical estimation Gerber-Shiu function dividend

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (1)

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Cites Work

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Nonparametric renewal function estimation
Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
On a generalization of the Gerber-Shiu function to path-dependent penalties
De Finetti's optimal dividends problem with an affine penalty function at ruin
Risk theory with a nonlinear dividend barrier
Risk theory for the compound Poisson process that is perturbed by diffusion
On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
Nonparametric estimators for the probability of ruin
Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy
On the dual risk model with tax payments
Constant dividend barrier in a risk model with interclaim-dependent claim sizes
Finite-time dividend-ruin models
Methods for estimating the optimal dividend barrier and the probability of ruin
Optimal dividends with incomplete information in the dual model
A note on the compound binomial model with randomized dividend strategy
On the expected discounted penalty function for a perturbed risk process driven by a subordinator
Jump diffusion processes and their applications in insurance and finance
Optimal dividends in the dual model
The compound Poisson risk model with multiple thresholds
A new aspect of a risk process and its statistical inference
The tax identity in risk theory - a simple proof and an extension
On a dual model with a dividend threshold
Nonparametric estimation of ruin probabilities given a random sample of claims
Measuring the effects of reinsurance by the adjustment coefficient
Recursive calculation of finite-time ruin probabilities
The surpluses immediately before and at ruin, and the amount of the claim causing ruin
A bootstrap procedure for estimating the adjustment coefficients
On the distribution of the surplus prior to ruin
Empirical bounds for ruin probabilities
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A process with stochastic claim frequency and a linear dividend barrier
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The compound Poisson process perturbed by a diffusion with a threshold dividend strategy
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Maximizing Dividends without Bankruptcy
Optimal Dividends in the Dual Model with Diffusion
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On Some alternative estimates of the adjustment coefficient in risk theory
Optimal proportional reinsurance policies for diffusion models
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Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs
Some Optimal Dividends Problems
Ruin probabilities for competing claim processes
Classical numerical ruin probabilities
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A Risk Model with Multilayer Dividend Strategy
Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model
Moments of Discounted Dividends for a Threshold Strategy in the Compound Poisson Risk Model
Strategies for Dividend Distribution: A Review
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Exponential Behavior in the Presence of Dependence in Risk Theory
Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
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On the Time Value of Ruin
Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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