Approximations for the probability of ruin within finite time

DOI10.1080/03461238.1984.10413752zbMath0568.62092OpenAlexW2064373659MaRDI QIDQ3685056

Soren Asmussen

Publication date: 1984

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1984.10413752

zbMATH Keywords

diffusion approximationapproximationsnumerical comparisonsnormal approximationfinite timePoissonrisk theoryprobability of ruinexponential case

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Sequential statistical analysis (62L10)

Related Items (40)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Optimal Reinsurance to Minimize the Probability of Drawdown under the Mean-Variance Premium Principle: Asymptotic Analysis ⋮ Estimates for the probability of ruin starting with a large initial reserve ⋮ Large deviations for the maxima of some random fields ⋮ Approximation of the initial reserve for known ruin probabilities ⋮ Stability of the exit time for Lévy processes ⋮ Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results ⋮ Discounted probability of exponential parisian ruin: Diffusion approximation ⋮ Large deviations results for subexponential tails, with applications to insurance risk ⋮ Taylor-series expansion for multivariate characteristics of classical risk processes ⋮ Controlled diffusion models for optimal dividend pay-out ⋮ Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes ⋮ Integro-local theorems in boundary crossing problems for compound renewal processes ⋮ Boundary crossing problems for compound renewal processes ⋮ Corrected normal approximation for the probability of ruin within finite time ⋮ Level premium rates as a function of initial capital ⋮ Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach ⋮ Interest and mortality randomness in some annuities ⋮ Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment ⋮ Approximations in the problem of level crossing by a compound renewal process ⋮ Practical approximations for multivariate characteristics of risk processes ⋮ Adaptive control strategies and dependence of finite time ruin on the premium loading ⋮ Computational methods in risk theory: a matrix-algorithmic approach ⋮ A transient Cramér–Lundberg model with applications to credit risk ⋮ Uniform estimates for the finite-time ruin probability in the dependent renewal risk model ⋮ Limit theorems for mixed max-sum processes with renewal stopping ⋮ Uniform renewal theory with applications to expansions of random geometric sums ⋮ Risk theory insight into a zone-adaptive control strategy ⋮ Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes ⋮ Asymptotic behaviour of the finite-time ruin probability in renewal risk models ⋮ Ruin theory with compounding assets -- a survey ⋮ Non-Poissonian claims' arrivals and calculation of the probability of ruin ⋮ Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time ⋮ The De Vylder–Goovaerts conjecture holds within the diffusion limit ⋮ Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model ⋮ Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation ⋮ The probability of ruin in finite time ⋮ Conjugate processes and the simulation of ruin problems ⋮ Approximations for Finite Horizon Ruin Probabilities in the Renewal Model

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