A new look at the homogeneous risk model
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Publication:654830
DOI10.1016/j.insmatheco.2011.08.005zbMath1229.91162OpenAlexW2077544696MaRDI QIDQ654830
Philippe Picard, Claude Lefèvre
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.08.005
risk processAppell polynomialsconvex ordernon-ruin probabilityorder statistic propertyfinite time horizonvariance-to-mean ratio
Related Items (20)
A survey of some recent results on Risk Theory ⋮ Boundary crossing of order statistics point processes ⋮ De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts ⋮ RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS ⋮ Duality in ruin problems for ordered risk models ⋮ Large deviations for a class of counting processes and some statistical applications ⋮ Probabilistic approach to Appell polynomials ⋮ On the evaluation of finite-time ruin probabilities in a dependent risk model ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ Survival probabilities in bivariate risk models, with application to reinsurance ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ Correlated fractional counting processes on a finite-time interval ⋮ On double-boundary non-crossing probability for a class of compound processes with applications ⋮ Ruin and deficit under claim arrivals with the order statistics property ⋮ Two-sided exit problems in the ordered risk model ⋮ Fraud risk assessment within blockchain transactions ⋮ Ruin probabilities for risk models with ordered claim arrivals ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums ⋮ Appell pseudopolynomials and Erlang-type risk models ⋮ The De Vylder–Goovaerts conjecture holds within the diffusion limit
Cites Work
- Optimal joint survival reinsurance: an efficient frontier approach
- Finite-time ruin probabilities for discrete, possibly dependent, claim severities
- Stochastic orders
- A class of weighted Poisson processes
- Inequality extensions of Prabhu's formula in ruin theory
- An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
- Homogeneous risk models with equalized claim amounts
- Polynomial structures in order statistics distributions
- On Appell polynomials
- Two-Sided Bounds for the Finite Time Probability of Ruin
- The probability of ruin in finite time with discrete claim size distribution
- Problèmes de ruine en théorie du risque à temps discret avec horizon fini
- First crossing of basic counting processes with lower non-linear boundaries: A unified approach through pseudopolynomials (I)
- A finite-time ruin probability formula for continuous claim severities
- Moment generating functions of compound renewal sums with discounted claims
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