On a gamma series expansion for the time-dependent probability of collective ruin

DOI10.1016/S0167-6687(01)00080-4zbMath1025.62036OpenAlexW1975799645MaRDI QIDQ1413290

Jozef L. Teugels, Robert F. Tichy, Hansjoerg Albrecher

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00080-4

zbMATH Keywords

ruin probabilityclassical risk modelfinite time intervalreal interest force

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (15)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ Computing ruin probability in the classical risk model ⋮ Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model ⋮ Matrix representations of life insurance payments ⋮ Recursive calculation of finite time ruin probabilities under interest force. ⋮ Optimal dividend strategies for a risk process under force of interest ⋮ On finite-time ruin probabilities for classical risk models ⋮ Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions ⋮ Nonparametric inference on Lévy measures of compound Poisson-driven Ornstein-Uhlenbeck processes under macroscopic discrete observations ⋮ Shot-noise queueing models ⋮ Risk Processes with Interest Force in Markovian Environment ⋮ Calculation of finite time ruin probabilities for some risk models ⋮ Affine Storage and Insurance Risk Models

Cites Work

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• Classical risk theory in an economic environment
• Equation for survival probability in a finite time interval in case of non-zero real interest force
• The adjustment function in ruin estimates under interest force
• Ruin estimates under interest force
• Representation and explicit calculation of Finite-time ruin probabilities
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin I
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin II

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