9 citations · 32 across the 18 of their papers we have counts for
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math.PR2023★ 3 cited
On the exact survival probability by setting discrete random variables in E. Sparre Andersen's model
Andrius Grigutis
In this work, we propose a simplification of the Pollaczek-Khinchine formula for the ultimate time survival (or ruin) probability calculation in exchange for a few assumptions on t…
math.PR2023★ 4 cited
Ruin probability for renewal risk models with neutral net profit condition
Andrius Grigutis, Arvydas Karbonskis, Jonas Šiaulys
In ruin theory, the net profit condition intuitively means that the incurred random claims on average do not occur more often than premiums are gained. The breach of the net profit…
q-fin.RM2023★ 1 cited
Probabilistic Overview of Probabilities of Default for Low Default Portfolios by K. Pluto and D. Tasche
Andrius Grigutis
This article gives a probabilistic overview of the widely used method of default probability estimation proposed by K. Pluto and D. Tasche. There are listed detailed assumptions an…