Explicit finite-time and infinite-time ruin probabilities in the continuous case

DOI10.1016/S0167-6687(98)00049-3zbMath0963.91062OpenAlexW2016676264WikidataQ128039894 ScholiaQ128039894MaRDI QIDQ1302121

Marc J. Goovaerts, F. Etienne De Vylder

Publication date: 27 June 2001

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00049-3

zbMATH Keywords

classical risk modelruin probabilitiescompound densityrisk reserve

Mathematics Subject Classification ID

Related Items (20)

On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model ⋮ First-exit times for compound poisson processes for some types of positive and negative jumps ⋮ Bi-seasonal discrete time risk model ⋮ Ruin probability in the three-seasonal discrete-time risk model ⋮ Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ On a joint distribution for the risk process with constant interest force ⋮ Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model ⋮ Finite-time ruin probability in the inhomogeneous claim case ⋮ Joint distributions of some actuarial random vectors containing the time of ruin ⋮ Equitable solvent controls in a multi-period game model of risk ⋮ Computing survival probabilities based on stochastic differential models ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process ⋮ Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald ⋮ On finite-time ruin probabilities for classical risk models ⋮ Ruin probabilities for risk models with ordered claim arrivals ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Ruin probability for the bi-seasonal discrete time risk model with dependent claims ⋮ Inequality extensions of Prabhu's formula in ruin theory ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims

Cites Work

• The probability of ruin in finite time with discrete claim size distribution

This page was built for publication: Explicit finite-time and infinite-time ruin probabilities in the continuous case