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Surplus Dependent Risk Models
corresponding piecewise deterministic Markov process S(t) with infinitesimal generator, fo°°[f(x y) f(x)lP(dy)] ... probability of ruin is the same for the process S(t) and U(t), the latter being the classical compound ...- Authors: José Garrido, Wojciech Szatzschneider
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Risk measurement - Finance & Investments
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Teaching Risk Theory
"tying ends ~ in bayesian statistics. Prior F(c~.s) distribution and Poisson random sample will produce ... the integer part, SA-Xp~ _D S[-~] + SA_[A} - [Alp, -( A- IX] ) p, ( S[A ] and SA_ lk ] being independent) ...- Authors: Wojciech Szatzschneider
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Actuarial Profession
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Environment and Financial Markets
clarity of the fundamental concepts, Crabbe et al., (2000) crucial for making decisions. Further critique ... maximize ∫ 1 0 (X(s) ∧ k)ds which is the global goal! Here k is the maximum capacity and X(s) a diffusion ...- Authors: Wojciech Szatzschneider
- Date: Jan 2003
- Competency: Technical Skills & Analytical Problem Solving>Innovative solutions
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Derivatives; Modeling & Statistical Methods