On A Surplus Process Under A Periodic Environment

DOI10.1080/10920277.2004.10596172zbMath1085.62513OpenAlexW2313849299MaRDI QIDQ5715977

Manuel Morales

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2004.10596172

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

Related Items (3)

Risk aggregation based on the Poisson INAR(1) process with periodic structure ⋮ ON SUMS OF INDEPENDENT GENERALIZED PARETO RANDOM VARIABLES WITH APPLICATIONS TO INSURANCE AND CAT BONDS ⋮ AN EXTREME-VALUE THEORY APPROXIMATION SCHEME IN REINSURANCE AND INSURANCE-LINKED SECURITIES

Cites Work

• Conjugate processes and the simulation of ruin problems
• Ruin probabilities expressed in terms of ladder height distributions
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators

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