Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Reis, Alfredo D. Egídio dos"'
In this paper, we adapt the classic Cram\'er-Lundberg collective risk theory model to a perturbed model by adding a Wiener process to the compound Poisson process, which can be used to incorporate premium income uncertainty, interest rate fluctuation
Externí odkaz:
http://arxiv.org/abs/2107.02537
Autor:
Alcoforado, Renata G., Bergel, Agnieszka I., Cardoso, Rui M. R., Reis, Alfredo D. Egidio dos, Rodriguez-Martinez, Eugenio V.
In this manuscript we consider the dual risk model with financial application, where the random gains occur under a renewal process. We particularly work the Erlang(n) case for common distribution of the inter-arrival times, from there it is easy to
Externí odkaz:
http://arxiv.org/abs/2105.11556
Brazil is the 5th largest country in the world, despite of having a ``High Human Development'' it is the 9th most unequal country. The existing Brazilian micro pension programme is one of the safety nets for poor people. To become eligible for this b
Externí odkaz:
http://arxiv.org/abs/2104.09210
In recent years, the increasing life expectancy of the world’s population, due to increased availability of prescribed medication, quality of health care services, quantity of health care institutions and quality of life, combined with a sharp decr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1503::b89ef00f59373c4994fcf92b6a3018b7
https://hdl.handle.net/10400.5/27594
https://hdl.handle.net/10400.5/27594
This study analysed a series of live cattle spot and futures prices from the Boi Gordo Index (BGI) in Brazil. The objective was to develop a model that best portrays this commodity’s behaviour to estimate futures prices more accurately. The databas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1503::0e13972395d6d3397b7374a68936d24f
https://hdl.handle.net/10400.5/24490
https://hdl.handle.net/10400.5/24490
For a set of Brazilian companies, we study the occurrence of cyber risk claims by analyzing the impact of self protection and the prediction of their occurrence. We bring a new perspective to the study of cyber risk analyzing the probabilities of acq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1503::9f26a8fa81f6269423bf438841455b59
https://hdl.handle.net/10400.5/24492
https://hdl.handle.net/10400.5/24492
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://explore.openaire.eu/search/publication?articleId=od______1503::90cbaade73a2e02a84eab022848835fd
https://hdl.handle.net/10400.5/24450
https://hdl.handle.net/10400.5/24450
Autor:
Alcoforado, Renata G., Bergel, Agnieszka I., Cardoso, Rui M. R., Reis, Alfredo D. Egídio dos, Rodríguez-Martínez, Eugenio V.
Publikováno v:
Methodology & Computing in Applied Probability; Jun2022, Vol. 24 Issue 2, p537-569, 33p
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=od______1503::7229db2a497a321e97706aecf3b36b8d
https://hdl.handle.net/10400.5/24444
https://hdl.handle.net/10400.5/24444
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=od______1503::f7cb61f593367154510641742b516293
https://hdl.handle.net/10400.5/24447
https://hdl.handle.net/10400.5/24447