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On A Risk Measure Inspired From The Ruin Probability And The Expected Deficit at Ruin
On A Risk Measure Inspired From The Ruin Probability And The Expected Deficit at Ruin This abstract ... describes a paper that studies a risk measure derived from ruin theory defined as the smallest initial capital ...- Authors: Ilie Mitric, Julien Trufin
- Date: Feb 2014
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On the absolute ruin problem in a Sparre Andersen risk model with constant interest
On the absolute ruin problem in a Sparre Andersen risk model with constant interest Presented at August ... 46th Actuarial Research Conference. Develops the Multi-threshold Compound Poisson surplus process ...- Authors: Andrei Lucian Badescu, Ilie Mitric, David A Stanford
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Risk measurement - ERM