4 papers
Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model
Michael Preischl, Stefan Thonhauser
Complementing existing results on minimal ruin probabilities, we minimize expected discounted penalty functions (or Gerber-Shiu functions) in a Cramer-Lundberg model by choosing op…
On Majorization in Dependence Modeling
Michael Preischl
We apply concepts of majorization theory to derive new insights in the field of extremal dependence structures. In particular, we consider the Rearrangement Algorithm by Puccetti a…
Integral equations, quasi-Monte Carlo methods and risk modelling
Michael Preischl, Stefan Thonhauser, Robert F. Tichy
We survey a QMC approach to integral equations and develop some new applications to risk modeling. In particular, a rigorous error bound derived from Koksma-Hlawka type inequalitie…
Bounds on Integrals with Respect to Multivariate Copulas
Michael Preischl
Finding upper and lower bounds to integrals with respect to copulas is a quite prominent problem in applied probability. In their 2014 paper, Hofer and Iaco showed how particular t…