Extremes on the discounted aggregate claims in a time dependent risk model
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461230802700897
Reference24 articles.
1. On the coherence of expected shortfall
2. A ruin model with dependence between claim sizes and claim intervals
3. On the discounted penalty function in a Markov-dependent risk model
4. Exponential Behavior in the Presence of Dependence in Risk Theory
5. Analysis of the Expected Shortfall of Aggregate Dependent Risks
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