Practical approximations for multivariate characteristics of risk processes
From MaRDI portal
Publication:1974037
DOI10.1016/S0167-6687(99)00023-2zbMath0946.91026MaRDI QIDQ1974037
Publication date: 8 May 2000
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00023-2
recursive procedure; power series expansions; multiple integrals; double Laplace transforms; finite time multivariate ruin probability
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the distribution of the claim causing ruin
- Numerical inversion of the Laplace transform: a survey and comparison of methods
- The surpluses immediately before and at ruin, and the amount of the claim causing ruin
- Recursive calculation of the probability and severity of ruin
- Taylor-series expansion for multivariate characteristics of classical risk processes
- Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
- Approximations for the probability of ruin within finite time
- Light Traffic Limits of Sojourn Time Distributions in Markovian Queueing Networks
- Power Series for Stationary Distributions of Coupled Processor Models
- The power-series algorithm applied to cyclic polling systems
- Calculating light traffic limits for sojourn times in open markovian queueing systems
- Numerical inversions of characteristic functions
- How to calculate ruin probabilities according to the classical risk theory
- Numerical inversion of characteristic functions
- Ruin probabilities prepared for numerical calculation
- A class of approximations of ruin probabilities
- Fourier inversion—distribution functions—long tails
- The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
- Light-Traffic Analysis for Queues with Spatially Distributed Arrivals
- Diffusion approximations in collective risk theory
- New quadrature formulas for the numerical inversion of the Laplace transform
