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math.OC2018
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…
math.OC2016
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…