Blätter der DGVFM

Deterministic shock vs. stochastic value-at-risk — an analysis of the Solvency II standard model approach to longevity risk

Matthias Börger · 2010 · 75 citations

Engineering, Aging, Longevity +13

Optimal control of capital injections by reinsurance in a diffusion approximation

Julia Eisenberg, Hanspeter Schmidli · 2009 · 33 citations

Mathematical Programming, Economics, Computational Finance +10

Optimal dividend payment under a ruin constraint: Discrete time and state space

Christian Hipp · 2003 · 24 citations

Mathematical Programming, Optimal Dividend Payment, Economics +10

On the efficiency of the Asmussen–Kroese-estimator and its application to stop-loss transforms

Jürgen Hartinger, Dominik Kortschak · 2009 · 22 citations

State Estimation, Statistical Signal Processing, Density Estimation +6

The numerical evaluation of the aggregate claim density function via integral equations

Berthold Ströter · 1985 · 21 citations

Numerical Analysis, Aggregate Function, Numerical Evaluation +8