On the numerical evaluation of the ultimate ruin probability

DOI10.1007/BF02809467zbMath0685.62088OpenAlexW2074062517MaRDI QIDQ4203677

Erhard Kremer

Publication date: 1989

Published in: Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02809467

zbMATH Keywords

ultimate ruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

Effiziente berechnung der ruinwahrscheinlichkeit für den klassischen schadenexzedentenvertrag ⋮ Explicit form of finite-time severity of ruin for phase-distributed claim sizes ⋮ Approximate solutions of severity of ruins

Cites Work

• Bounds for classical ruin probabilities
• A series for infinite time ruin probabilities
• An improvement to the convolution method of calculating \(\psi\) (u)
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Some approximations of ultimate ruin probability for finite initial surplus
• A class of approximations of ruin probabilities
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