Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion (Q5014499): Difference between revisions

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scientific article; zbMATH DE number 7440702

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English	Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion	scientific article; zbMATH DE number 7440702

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instance of

scholarly article

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title

Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion (English)

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Scandinavian Actuarial Journal

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publication date

8 December 2021

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zbMATH Keywords

renewal risk model

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credit interest

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ruin probability

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Laguerre polynomial

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approximation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2021.1885483

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cites work

Q3331506

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Asymptotic results for renewal risk models with risky investments

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Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities

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Q3560912

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What is a Sobolev space for the Laguerre function systems?

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On the time value of absolute ruin with debit interest

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On the expected discounted penalty function at ruin of a surplus process with interest.

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Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

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Non-exponential bounds for stop-loss premiums and ruin probabilities

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Fourier-cosine method for Gerber-Shiu functions

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Fourier-cosine method for ruin probabilities

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The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims

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A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium

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On a risk model with surplus-dependent premium and tax rates

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Nonparametric estimation in a multiplicative censoring model with symmetric noise

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Statistical Inference for Renewal Processes

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Adaptive Laguerre density estimation for mixed Poisson models

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Fitting combinations of exponentials to probability distributions

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On the Time Value of Ruin

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The Time Value of Ruin in a Sparre Andersen Model

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On Optimal Dividend Strategies In The Compound Poisson Model

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A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model

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Ruin under interest force and subexponential claims: a simple treatment.

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The compound Poisson risk model with a threshold dividend strategy

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Ruin models with investment income

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Ruin theory with stochastic return on investments

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Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures

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Ruin estimates under interest force

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Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation

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On the discounted penalty function in the renewal risk model with general interclaim times

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Surplus analysis of Sparre Andersen insurance risk processes

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On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest

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Estimating the Gerber–Shiu function by Fourier–Sinc series expansion

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A new efficient method for estimating the Gerber–Shiu function in the classical risk model

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Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion

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Identifiers

zbMATH Open document ID

1479.91315

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DOI

10.1080/03461238.2021.1885483

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5014499

@@ Property / cites work @@
+Q3331506
@@ Property / cites work: Q3331506 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic results for renewal risk models with risky investments
+Normal rank
@@ Property / cites work @@
+Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+What is a Sobolev space for the Laguerre function systems?
+Normal rank
@@ Property / cites work @@
+On the time value of absolute ruin with debit interest
+Normal rank
@@ Property / cites work @@
+On the expected discounted penalty function at ruin of a surplus process with interest.
+Normal rank
@@ Property / cites work @@
+Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
+Normal rank
@@ Property / cites work @@
+Non-exponential bounds for stop-loss premiums and ruin probabilities
+Normal rank
@@ Property / cites work @@
+Fourier-cosine method for Gerber-Shiu functions
@@ Property / cites work: Fourier-cosine method for Gerber-Shiu functions / rank @@
+Normal rank
@@ Property / cites work @@
+Fourier-cosine method for ruin probabilities
@@ Property / cites work: Fourier-cosine method for ruin probabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
+Normal rank
@@ Property / cites work @@
+A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
+Normal rank
@@ Property / cites work @@
+On a risk model with surplus-dependent premium and tax rates
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation in a multiplicative censoring model with symmetric noise
+Normal rank
@@ Property / cites work @@
+Statistical Inference for Renewal Processes
@@ Property / cites work: Statistical Inference for Renewal Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Laguerre density estimation for mixed Poisson models
+Normal rank
@@ Property / cites work @@
+Fitting combinations of exponentials to probability distributions
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+The Time Value of Ruin in a Sparre Andersen Model
@@ Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank @@
+Normal rank
@@ Property / cites work @@
+On Optimal Dividend Strategies In The Compound Poisson Model
+Normal rank
@@ Property / cites work @@
+A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
+Normal rank
@@ Property / cites work @@
+Ruin under interest force and subexponential claims: a simple treatment.
+Normal rank
@@ Property / cites work @@
+The compound Poisson risk model with a threshold dividend strategy
+Normal rank
@@ Property / cites work @@
+Ruin models with investment income
@@ Property / cites work: Ruin models with investment income / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin theory with stochastic return on investments
@@ Property / cites work: Ruin theory with stochastic return on investments / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
+Normal rank
@@ Property / cites work @@
+Ruin estimates under interest force
@@ Property / cites work: Ruin estimates under interest force / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
+Normal rank
@@ Property / cites work @@
+On the discounted penalty function in the renewal risk model with general interclaim times
+Normal rank
@@ Property / cites work @@
+Surplus analysis of Sparre Andersen insurance risk processes
+Normal rank
@@ Property / cites work @@
+On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest
+Normal rank
@@ Property / cites work @@
+Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
+Normal rank
@@ Property / cites work @@
+A new efficient method for estimating the Gerber–Shiu function in the classical risk model
+Normal rank
@@ Property / cites work @@
+Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
+Normal rank