3 citations · 4 across the 3 of their papers we have counts for
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math.PR2019
Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
Hansjörg Albrecher, Bohan Chen, Eleni Vatamidou +1
We investigate the probability that an insurance portfolio gets ruined within a finite time period under the assumption that the r largest claims are (partly) reinsured. We show th…
math.PR2017★ 1 cited
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Bohan Chen, Jose Blanchet, Chang-Han Rhee +1
We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution…