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Risk, Ruin and Survival: Decision Making in Insurance and Finance

Developing techniques for assessing various risks and calculating probabilities of ruin and survival are exciting topics for mathematically-inclined academics. For practicing actuaries and financial engineers, the resulting insights have provided enormous opportunities but also created serious chall...

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Guardat en:
Autors principals: Ren, Jiandong, Sendova, Kristina, Zitikis, Ricardas
Format: Online
Idioma:anglès
Publicat: MDPI - Multidisciplinary Digital Publishing Institute 2021
Matèries:
HG1-9999
insurance
n/a
multiplicative background risk model
renewal process
dual risk model
collective risk model
risk measure
aggregate risk
Laplace transform
transfer function
risk management
risk theory
maximal tail dependence
constant interest rate
partial integro-differential equation
reinsurance
financial time series
spatial risk measures and corresponding axiomatic approach
central limit theorem
integral equation
Markovian arrival process
systematic risk
information processing
discounted aggregate claims
surplus process
weighted cuts
rate of spatial diversification
national culture
operational risk
covariance
cumulative Parisian ruin
spatial dependence
background risk
survival analysis
Monte Carlo
aggregate discounted claims
stochastic orders
order statistic
max-stable random fields
copulas
hazard model
multivariate gamma distribution
copula
advanced measurement approach
concomitant
archimedean copulas
rating migrations
ruin probability
clustering
confidence interval
individual risk model
numerical approximation
value-at-risk
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