Proposes collective and individual actuarial models connecting claims to epidemic-driven population dynamics, deriving scaling limits and ruin probability bounds and approximations in SIS settings.
Cambridge University Press, Cambridge (2009)
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Insurance risk models in a heterogeneous time-dependent population: scaling limits and ruin probabilities
Proposes collective and individual actuarial models connecting claims to epidemic-driven population dynamics, deriving scaling limits and ruin probability bounds and approximations in SIS settings.
- $L^{\alpha-1}$ distance between two one-dimensional stochastic differential equations with drift terms driven by a symmetric $\alpha$-stable process