Zobrazeno 1 - 10
of 165
pro vyhledávání: '"Gordon E. Willmot"'
Publikováno v:
Scandinavian Actuarial Journal. 2023:153-190
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a757ce3e6cc1318b49b142166cc3871c
https://doi.org/10.1080/03461238.2022.2089051
https://doi.org/10.1080/03461238.2022.2089051
Publikováno v:
Mathematics of Operations Research. 45:993-1015
This article contains various results on a class of nonmonotone, law-invariant risk functionals called the signed Choquet integrals. A functional characterization via comonotonic additivity is established along with some theoretical properties, inclu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e10e94884503bae2347ed260c660ee7e
https://doi.org/10.1287/moor.2019.1020
https://doi.org/10.1287/moor.2019.1020
Autor:
Gordon E. Willmot, Jae-Kyung Woo
Publikováno v:
Applied Mathematics and Computation. 430:127302
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eb9c4a94358ff22b7bba59b0429641b2
https://doi.org/10.1016/j.amc.2022.127302
https://doi.org/10.1016/j.amc.2022.127302
Autor:
David Landriault, Gordon E. Willmot
Publikováno v:
Scandinavian Actuarial Journal. 2020:292-306
In this note, we consider a nonstandard analytic approach to the examination of scale functions in some special cases of spectrally negative Levy processes. In particular, we consider the compound ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::02e56a4a84d4f3ef1169e495cd00747c
https://doi.org/10.1080/03461238.2019.1663444
https://doi.org/10.1080/03461238.2019.1663444
Publikováno v:
Applied Mathematics and Computation. 331:358-377
This paper considers a renewal insurance risk model with two-sided jumps (e.g. Labbe et al., 2011), where downward and upward jumps typically represent claim amounts and random gains respectively. A generalization of the Gerber–Shiu expected discou
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::86b4396552b0c1fdd00289f422f66765
https://doi.org/10.1016/j.amc.2018.03.037
https://doi.org/10.1016/j.amc.2018.03.037
Publikováno v:
Journal of Applied Probability. 55:302-317
In this paper we propose a new approach to study the Parisian ruin problem for spectrally negative Lévy processes. Since our approach is based on a hybrid observation scheme switching between discrete and continuous observations, we call it a tempor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::27e121ab878dfb3f50774a87c1670767
https://doi.org/10.1017/jpr.2018.18
https://doi.org/10.1017/jpr.2018.18
Publikováno v:
Insurance: Mathematics and Economics. 74:1-6
Conditions for the convexity of compound geometric tails and compound geometric convolution tails are established. The results are then applied to analyze the convexity of the ruin probability and the Laplace transform of the time to ruin in the clas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4fb945dc779fc5f1236dace9708ee010
https://doi.org/10.1016/j.insmatheco.2017.02.004
https://doi.org/10.1016/j.insmatheco.2017.02.004
A guide that provides in-depth coverage of modeling techniques used throughout many branches of actuarial science, revised and updated Now in its fifth edition, Loss Models: From Data to Decisions puts the focus on material tested in the Society of A
Publikováno v:
Scandinavian Actuarial Journal. 2017:628-650
Incurred but not reported (IBNR) claims, which arise naturally in insurance contexts, are of central importance to insurers for risk management and financial reporting purposes. In this paper, we first examine the moments of the total discounted IBNR
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a288f814f32c4787073254bb6646ef54
https://doi.org/10.1080/03461238.2016.1225265
https://doi.org/10.1080/03461238.2016.1225265
Autor:
Gordon E. Willmot, So-Yeun Kim
Publikováno v:
Insurance: Mathematics and Economics. 66:77-85
This paper first explores the Laplace transform of the time of ruin in the delayed renewal risk model. We show that G δ d ( u ) , the Laplace transform of the time of ruin in the delayed model, also satisfies a defective renewal equation and use thi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::94bf4b32f0006519df14039036ebd68b
https://doi.org/10.1016/j.insmatheco.2015.10.011
https://doi.org/10.1016/j.insmatheco.2015.10.011