Complementary Material for "Risk Modelling: Analysis, Simulation and Optimization"
Description
The collection of files consists of Mathematica and R Code which was created for the purpose of illustrating the theoretical results presented in the publications by means of numerical examples.
The files in this record are associated to publications in the following way:
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Exact asymptotics of ruin probabilities with linear Hawkes arrivals (Palmowski, Pojer, Thonhauser), Stochastic Processes and their Applications 182
MonteCarlo_Hawkes.nb, simulation_hawkes_slow_butexact.nb
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The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions (Pojer, Thonhauser), Methodology and Computing in Applied Probability 25 (1), 17
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Ruin probabilities in a Markovian shot-noise environment (Pojer, Thonhauser), Journal of Applied Probability 60 (2), 542-556
Simulation_GS_Function.nb, mc_bounded_process.nb, MC_simply_lambda.nb, MonteCarlo_ShotNoise_ruinprobability.nb, Numerical_Method_Gerber_Shiu_Shot_Noise.nb, Plots.nb
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Optimal reinsurance in a competitive market (Enzi, Thonhauser) Mathematical Methods of Operations Research 2025
Excess of Loss_Exponential.R, Excess of Loss_Pareto.R, Proportional_ExponentialClaims.R
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Numerical Computation of Risk Functionals in PDMP Risk Models (Enzi, Thonhauser) Monte Carlo and Quasi-Monte Carlo Methods: MCQMC 2022
MC Ruin probability.nb, QMC.nb, Quantization.nb
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Regularity of a best-of option's payoff (Nachbagauer, Thonhauser) In: Problèmes diophantiens: déterminisme, aléa et applications: Panoramas et Synthèses
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Related works
- Is supplement to
- Publication: 10.1007/978-3-031-59762-6_10 (DOI)
- Publication: 10.1007/s00186-025-00903-5 (DOI)
- Publication: 10.1007/s11009-023-10001-w (DOI)
- Publication: 10.1016/j.spa.2025.104571 (DOI)
- Publication: 10.1017/jpr.2022.63 (DOI)