The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
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Publication:4776722
DOI10.1080/03461238.1974.10408671zbMath0288.60088OpenAlexW2064546344MaRDI QIDQ4776722
Publication date: 1974
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1974.10408671
Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)
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Finite-time ruin probabilities using bivariate Laguerre series ⋮ A remark on survival probabilities for a weighted poisson process ⋮ Corrected normal approximation for the probability of ruin within finite time ⋮ Formula for the supremum distribution of a spectrally positive \(\alpha \)-stable Lévy process ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ Finite time ruin probabilities with one Laplace inversion. ⋮ Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique ⋮ Stationarity aspects of the sparre andersen risk process and the corresponding ruin probabilitles ⋮ Practical approximations for multivariate characteristics of risk processes ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ Compound poisson processes, as modified by Ornstein-Uhlenbeck processes, Part II ⋮ The ruin problem for mixed poisson risk processes ⋮ Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald ⋮ The expected discounted penalty function: from infinite time to finite time ⋮ Numerical inversion of characteristic functions ⋮ Concerning the use of Laguerre Polynomials for Inversion of Laplace Transforms in Risk Theory ⋮ Representation and explicit calculation of Finite-time ruin probabilities ⋮ Refined distributions for a multi-risk stochastic process ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation ⋮ Non-Poissonian claims' arrivals and calculation of the probability of ruin ⋮ Nonparametric estimation of ruin probabilities given a random sample of claims ⋮ Risk theory in a Markovian environment ⋮ Conjugate processes and the simulation of ruin problems ⋮ On a partial integrodifferential equation of Seal's type ⋮ Approximations for the probability of ruin within finite time
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