Classical numerical ruin probabilities

DOI10.1080/03461238.1996.10413967MaRDI QIDQ4715562zbMATH OpenOpenAlexFDO

Authors É. Marceau, Floriaen E. C. De Vylder

Publication date 5 February 1998

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

Full work available at URL https://doi.org/10.1080/03461238.1996.10413967

zbMATH Keywords

adjustment coefficientasymptotic formulaclassical risk modelrenewal equation

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(30)

• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
• Discounted probabilities and ruin theory in the compound binomial model
• Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
• Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
• Discounted aggregate claim costs until ruin in the discrete-time renewal risk model
• Ruin probabilities with compounding assets
• Cramér-Lundberg approximation for nonlinearly perturbed risk processes
• Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm
• Approximations of the ruin probability in a discrete time risk model
• A cyclic approach on classical ruin model
• Simulation of ruin probabilities
• Cramér-Lundberg results for the infinite time ruin probability in the compound binomial model
• Numerical approximations to the probability of ruin
• Some results on the compound Markov binomial model
• On finite-time ruin probabilities for classical risk models
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• What is the best approximation of ruin probability in infinite time?
• How common sense can be misleading in ruin theory
• Review of statistical actuarial risk modelling
• Approximate ruin probabilities when the claim size distribution is Weibull
• Ruin Probabilities in the Compound Markov Binomial Model
• On robustness in risk theory
• Compound binomial risk model in a Markovian environment
• Rational ruin problems - a note for the teacher
• Computing ruin probability in the classical risk model
• On the efficient evaluation of ruin probabilities for completely monotone claim distributions
• Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
• Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin

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