Approximate solutions of severity of ruins

DOI10.1007/BF02808403MaRDI QIDQ4716011zbMATH OpenOpenAlexFDO

Authors Emilia Di Lorenzo, Gerarda Tessitore

Publication date 19 November 1996

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

Full work available at URL https://doi.org/10.1007/bf02808403

zbMATH Keywords

approximate solutionscubic spline approximationprobability of ruinseverity of ruin

Mathematics Subject Classification ID

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

Recommendations

• Recursive calculation of the probability and severity of ruin
• Simple approximations of ruin probabilities
• Simple approximations of ruin probabilities
• Numerical approximations to the probability of ruin
• A note on the solution of practical ruin problems
• scientific article; zbMATH DE number 1165657
• Ruin distributions and their equations
• Bounds of ruin probabilities

Cites work

• A practical guide to splines
• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 3703310 (Why is no real title available?)
• scientific article; zbMATH DE number 46151 (Why is no real title available?)
• On the numerical evaluation of the ultimate ruin probability
• Recursive calculation of finite-time ruin probabilities
• Recursive calculation of the probability and severity of ruin
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations

Cited in

(6)

• Exact and approximate properties of the distribution of surplus before and after ruin
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Recursive calculation of the probability and severity of ruin
• A note on the solution of practical ruin problems
• Analysis of a defective renewal equation arising in ruin theory
• On the distribution of surplus immediately after ruin under interest force

Describes a project that uses

Uses Software

• Mathematica

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