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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 ... defined as the smallest initial capital needed to cope in expectation with the first occurrence of a ruin ...- 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