Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes-Reference-Cited by-同舟云学术

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Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes

Published:2011-09 Issue:5-6 Volume:54 Page:1523-1535
ISSN:0895-7177
Container-title:Mathematical and Computer Modelling
language:en
Short-container-title:Mathematical and Computer Modelling

Author:

Gatto Riccardo

Funder

Swiss National Science Foundation

Publisher

Elsevier BV

Subject

Computer Science Applications,Modeling and Simulation

Reference15 articles.

1. Loss Models: From Data to Decisions;Klugman,2008

2. On the probability function in the collective theory of risk;Esscher;Skandinavisk Aktuarietidskrift,1932

3. On approximate computations when the corresponding characteristic functions are known;Esscher;Skandinavisk Aktuarietidskrift,1963

4. Approximations for compound Poisson and Pólya processes;Embrechts;Advances in Applied Probability,1985

5. Saddlepoint approximations to the distribution of the total claim amount in some recent risk models;Jensen;Scandinavian Actuarial Journal,1991

Cited by 6 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. Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators;Journal of Statistical Computation and Simulation;2013-09-11

2. Value at Ruin and Tail Value at Ruin of the Compound Poisson Process with Diffusion and Efficient Computational Methods;Methodology and Computing in Applied Probability;2013-01-04

3. Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion;Mathematical and Computer Modelling;2012-02

4. Measures of risk for the classical risk process using saddlepoint approximation techniques;AIP Conference Proceedings;2012

5. Saddlepoint approximations to distributions and measures of risk of aggregate losses;AIP Conference Proceedings;2012

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