A remark on ‘A class of approximations of ruin probabilities’

DOI10.1080/03461238.1978.10419478zbMath0389.62082OpenAlexW2024628337MaRDI QIDQ4171485

Jan Grandell

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1080/03461238.1978.10419478

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (11)

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding ⋮ On Ultimate Ruin in a Delayed-Claims Risk Model ⋮ Controlled diffusion models for optimal dividend pay-out ⋮ Optimal control of a big financial company with debt liability under bankrupt probability constraints ⋮ Optimal dividend and investing control of an insurance company with higher solvency constraints ⋮ Markov-modulated diffusion risk models ⋮ Empirical bounds for ruin probabilities ⋮ Risk theory in a Markovian environment ⋮ Simple approximations of ruin probabilities ⋮ Conjugate processes and the simulation of ruin problems ⋮ Approximations for the probability of ruin within finite time

Cites Work

• Generalization of an inequality of Kolmogorov
• A class of approximations of ruin probabilities

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