Computing finite-time survival probabilities using multinomial approximations of risk models

DOI10.1080/03461238.2013.838603MaRDI QIDQ4576904zbMATH OpenOpenAlexFDO

Authors Massimo Costabile, Ivar Massabò, Emilio Russo

Publication date 11 July 2018

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

Full work available at URL https://doi.org/10.1080/03461238.2013.838603

zbMATH Keywords

finite-time survival probabilitieslattice modelsrisk models with investment income

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05)

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Cites work

• A finite-time ruin probability formula for continuous claim severities
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Approximating the finite-time ruin probability under interest force
• Endogenous model of surrender conditions in equity-linked life insurance
• Erlangian approximation to finite time ruin probabilities in perturbed risk models
• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• Finite time ruin probabilities with one Laplace inversion.
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• scientific article; zbMATH DE number 3600993 (Why is no real title available?)
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• On a gamma series expansion for the time-dependent probability of collective ruin
• Option pricing: A simplified approach
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• Recursive calculation of finite time ruin probabilities under interest force.
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Ruin models with investment income
• Ruin probabilities with compounding assets
• The probability of ruin in finite time with discrete claim size distribution
• The use of vector-valued martingales in risk theory

Cited in

(5)

• Approximating the survival probability in finite life-span population models
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
• scientific article; zbMATH DE number 1778149 (Why is no real title available?)
• Computing survival probabilities based on stochastic differential models
• scientific article; zbMATH DE number 2094800 (Why is no real title available?)

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