Explicit analytic ruin probabilities for bounded claims

DOI10.1016/0167-6687(94)00037-FMaRDI QIDQ1902628zbMATH OpenOpenAlexFDO

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

Publication date 18 July 1996

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(94)00037-f

zbMATH Keywords

convolutionpolynomialstrigonometric functionsclassical risk modelfunction of bounded variationrenewal equationexponential functionsclaim size distributionsexplicit analytic ruin probabilitiesunbounded claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The probability of ruin
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• Ruin probabilities in the compound binomial model
• Bounds for classical ruin probabilities
• Two-Sided Bounds for the Finite Time Probability of Ruin

Cites work

• scientific article; zbMATH DE number 3155150 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• A class of very regular distribution functions and corresponding ruin probabilities
• Calculation of the probability of eventual ruin by Beekman's convolution series

Cited in

(1)

• scientific article; zbMATH DE number 6501230 (Why is no real title available?)

This page was built for publication: Explicit analytic ruin probabilities for bounded claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1902628)