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On the use of the multivariate stochastic order in risk theory
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Document type | Article de périodique (Journal article) |
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Publication date | 2002 |
Language | anglais |
Journal information | "German Actuarial Bulletin" - Vol. 25, p. 503-519 (2002) |
Peer reviewed | yes |
issn | 1864-0281 |
Publication status | Publié |
Affiliation | Louvain School of Management |
Links |
- Barlow, R. E. andProschan, F. (1975): Statistical Theory of Reliability and Life Testing. Holt, Rinehart and Winston.
- De Vylder, F. andGoovaerts, M. J. (1988): Recursive Calculation of Finite-Time Ruin Probabilities. Insurance: Mathematics and Economics, 7: 1–7.
- Dhaene, J. andVandebroek, M. (1995): Recursions for the Individual Model. Insurance: Mathematics and Economics, 16: 31–38.
- Goovaerts, M. J., Kaas, R., van Heerwaarden, A. E. andBauwelinckx, T. (1990): Effective Actuarial Methods. Insurance Series vol. 3, North-Holland.
- Klugman, S. A., Panjer, H. H. andWillmot, G. E. (1988): Loss Models. From Data to Decisions. Wiley.
- Panjer Harry H., Recursive Evaluation of a Family of Compound Distributions , 10.1017/s0515036100006796
- Sundt, B. (1991): On Excess of Loss Reinsurance with Reinstatement. Bulletin of the Swiss Actuaries, 1991: 1–5.
- Walhin, J. F. andParis, J. (2000): The Effect of Excess-of-Loss Reinsurance with Reinstatements on the Cedant’s Portfolio. Blätter Deutsche Gesellschaft für Versicherungsmathematik, 24: 615–627.
- Walhin, J. F. andParis, J. (2001a): Excess of Loss Reinsurance with Reinstatements: Premium Calculation and Ruin Probability of the Cedant. Blätter Deutsche Gesellschaft für Versicherungsmathematik, 25: 1–12.
- Walhin, J. F. andParis, J. (2001b): Some Comments on the Individual Risk Model and Multivariate Extension. BDGV, 25: 257–270.
Bibliographic reference | Walhin, Jean-François. On the use of the multivariate stochastic order in risk theory. In: German Actuarial Bulletin, Vol. 25, p. 503-519 (2002) |
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Permanent URL | http://hdl.handle.net/2078/16915 |