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An Integro-differential Equation for a Sparre Andersen Model with Investments
Andersen Model with Investments Presentation from the 41st Actuarial Research Conference held in August ... Montreal. This presentation extends the traditional Sparre Anderson model of ruin theory, using an Erlang distribution ...- Authors: CORINA DANA CONSTANTINESCU, Enrique Thomann
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models
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Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem
Analysis of the Ruin Probabilty Using Laplace Transforms and Karamata Tauberian Theorem In this note ... note, the asymptotic behavior of the probability of ruin is derived by means of infinitesimal generators ...- Authors: CORINA DANA CONSTANTINESCU, Enrique Thomann
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Topics: Finance & Investments>Risk measurement - Finance & Investments; Modeling & Statistical Methods>Stochastic models
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Ruin with Delayed Claims and Investments Actuarial Research Conference - Drake University - August 1 2023
Talk Objectives ▶ Setting up of the problem ▶ IBNR, RBNS, IBNS. ▶ The Settlement process - Non homogeneous ... Analysis of solutions - Mild formulation - Energy estimates. ▶ Deterministic delay - Certainty of ruin for ...- Authors: Enrique Thomann
- Date: Feb 2024
- Publication Name: Actuarial Research Clearing House