Ruin-based risk measures in discrete-time risk models-Reference-Cited by-同舟云学术

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Ruin-based risk measures in discrete-time risk models

Published:2020-07 Issue: Volume:93 Page:246-261
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Cossette Hélène,Marceau Etienne,Trufin Julien,Zuyderhoff Pierre

Funder

Natural Sciences and Engineering Research Council of Canada

Chaire en actuariat de l’Université Laval

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference67 articles.

1. Reinsurance: Actuarial and Statistical Aspects;Albrecher,2017

2. Coherent measures of risk;Artzner;Math. Finance,1999

3. Dependence in non-life insurance;Arvidsson,2007

4. Ruin Probabilities, Vol. 14;Asmussen,2010

5. An economic index of riskiness;Aumann;J. Polit. Econ.,2008

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stochastic representation of FGM copulas using multivariate Bernoulli random variables;Computational Statistics & Data Analysis;2022-09

2. MULTIVARIATE DISTRIBUTIONS WITH TIME AND CROSS-DEPENDENCE: AGGREGATION AND CAPITAL ALLOCATION;ASTIN Bulletin;2022-04-27

3. On the evaluation of risk models with bivariate integer-valued time series;Lithuanian Mathematical Journal;2021-10

4. On the analysis of a discrete-time risk model with INAR(1) processes;Scandinavian Actuarial Journal;2021-06-13

5. On the risk consistency and monotonicity of ruin theory;European Actuarial Journal;2021-04-08

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