Further use of Shiu's approach to the evaluation of ultimate ruin probabilities

DOI10.1016/0167-6687(88)90085-6zbMath0675.62075OpenAlexW2075870689MaRDI QIDQ1122285

Gordon E. Willmot

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90085-6

zbMATH Keywords

confluent hypergeometric functiontail probabilitiesgamma distributionseries expansionsruin probabilitiesstorage theorycontinuous uniform claim sizesprobability of ultimate ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Queueing theory (aspects of probability theory) (60K25)

Related Items (12)

The expected discounted penalty at ruin in the risk process with random income ⋮ On series expansions for scale functions and other ruin-related quantities ⋮ Compound geometric residual lifetime distributions and the deficit at ruin. ⋮ Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures ⋮ On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ On the approximation of functions satisfying defective renewal equations ⋮ On the probability of ruin for infinitely divisible claim amount distributions ⋮ Ruin probability by operational calculus ⋮ On a class of approximations for ruin and waiting time probabilities ⋮ Exact and approximate properties of the distribution of surplus before and after ruin ⋮ On the Class of Erlang Mixtures with Risk Theoretic Applications

Cites Work

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• A series for infinite time ruin probabilities
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Mathematical fun with ruin theory
• Calculation of the probability of eventual ruin by Beekman's convolution series
• On the relationship between the Poisson-exponential model and the non-central chi-squared distribution
• Convolution of uniform distributions and ruin probability
• The poisson-exponential model and the Non-Central Chi-squared distribution

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