Zobrazeno 1 - 10
of 19
pro vyhledávání: '"Alfredo D. Egídio dos Reis"'
Publikováno v:
Commodities, Vol 2, Iss 4, Pp 398-416 (2023)
This study analyses a series of live cattle spot and futures prices from the Boi Gordo Index (BGI) in Brazil. The objective is to develop a model that best portrays this commodity’s behaviour to estimate futures prices more accurately. The database
Externí odkaz:
https://doaj.org/article/ff55796633584e80a89a62b95313926f
Publikováno v:
Revstat Statistical Journal, Vol 18, Iss 4 (2020)
This paper aims to analyze unstructured data using a text mining approach. The work was motivated in order to organize and structure research in Risk Theory. In our study, the subject to be analyzed is composed by 27 published papers of the risk and
Externí odkaz:
https://doaj.org/article/511d83fe7f784c6dbe39dbbc2ad80241
For a large motor insurance portfolio, on an open environment, we study the impact of experience rating in finite and continuous time ruin probabilities. We consider a model for calculating ruin probabilities applicable to large portfolios with a Mar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::69d0e85ca6c25643f28717457549fcbe
https://hdl.handle.net/10400.5/24442
https://hdl.handle.net/10400.5/24442
Publikováno v:
ASTIN Bulletin. 47:417-435
Motor insurance is a very competitive business where insurers operate with quite large portfolios, often decisions must be taken under short horizons and therefore ruin probabilities should be calculated in finite time. The probability of ruin, in co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::253fcd5fd0c732cabbe61f8c0a49374c
https://doi.org/10.1017/asb.2017.3
https://doi.org/10.1017/asb.2017.3
Publikováno v:
European Actuarial Journal. 6:257-275
For actuarial applications we consider the Sparre–Andersen risk model when the interclaim times are Generalized Erlang(n) distributed. Unlike the standard Erlang(n) case, the roots of the generalized Lundberg’s equation with positive real parts c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8c33177f7953c9838eea0e0ca62b7f6c
https://doi.org/10.1007/s13385-016-0130-2
https://doi.org/10.1007/s13385-016-0130-2
Publikováno v:
European Actuarial Journal. 5:139-163
In risk theory with application to insurance, the identification of the relevant distributions for both the counting and the claim size processes from given observations is of major importance. In some situations left-truncated distributions can be u
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7295f840c5f15ce058c2a70c7316a7f2
https://doi.org/10.1007/s13385-015-0105-8
https://doi.org/10.1007/s13385-015-0105-8
The dual risk model assumes that the surplus of a company decreases at a constant rate over time, and grows by means of upward jumps which occur at random times with random sizes. In the present work, we study the dual risk renewal model when the wai
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8f12c8ef22d02ff246b1a51f08301966
https://hdl.handle.net/10400.5/24443
https://hdl.handle.net/10400.5/24443
Publikováno v:
ASTIN Bulletin. 45:127-150
The dual risk model assumes that the surplus of a company decreases at a constant rate over time and grows by means of upward jumps, which occur at random times and sizes. It is said to have applications to companies with economical activities involv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5997764239788ca502aba92da2033b86
https://doi.org/10.1017/asb.2014.19
https://doi.org/10.1017/asb.2014.19
Publikováno v:
Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
For actuarial aplications, we consider the Sparre–Andersen risk model when the interclaim times are Erlang(n) distributed. We first address the problem of solving an integro-differential equation that is satisfied by the survival probability and ot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e482c63ca58e370d7552fb72af71efd1
https://hdl.handle.net/10400.5/9515
https://hdl.handle.net/10400.5/9515
Autor:
Alfredo D. Egídio dos Reis
Publikováno v:
Insurance: Mathematics and Economics. 31:235-248
We consider in the classical surplus process the number of claims occurring up to ruin, by a different method presented by Stanford and Stroinski [Astin Bulletin 24 (2) (1994) 235]. We consider the computation of Laplace transforms (LTs) which can al
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::457b6fabf80a64d1e7ff1e36175d571e
https://doi.org/10.1016/s0167-6687(02)00153-1
https://doi.org/10.1016/s0167-6687(02)00153-1