On the Ruin Probability Under a Class of Risk Processes

DOI10.2143/AST.32.1.1016MaRDI QIDQ4661651zbMATH OpenFDO

Authors Rongming Wang, Hai-Feng Liu

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/AST.32.1.1016

zbMATH Keywords

finite time ruin probabilityLaplace transformSparre Andersen risk model

Mathematics Subject Classification ID

Renewal theory (60K05)

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Cites work

• Aspects of risk theory
• scientific article; zbMATH DE number 3709377 (Why is no real title available?)
• On a Class of Renewal Risk Processes

Cited in

(47)

• Conjugate processes and the simulation of ruin problems
• Ruin probabilities for Erlang (2) risk processes
• On a class of approximations for ruin and waiting time probabilities
• Some results of ruin probability for the classical risk process
• Ruin probability with claims modeled by a stationary ergodic stable process.
• Applications of a change of measures technique for compound mixed renewal processes to the ruin problem
• An approximation of minimum initial capital of investment discrete time surplus process with Weibull distribution in a reinsurance company
• Equitable solvent controls in a multi-period game model of risk
• Laplace transform of the survival probability under Sparre Andersen model
• Simulation analysis of ruin capital in Sparre Andersen's model of risk
• The ruin probability in risk process
• Some generalization of the ruin probability problem in the classical risk theory
• On the distributions of the sup and inf of the classical risk process with exponential claim
• Ruin probability with Gamma claim in classical risk model
• On the discounted penalty function in a discrete time renewal risk model with general interclaim times
• The ruin problem for mixed poisson risk processes
• A survey of some recent results on risk theory
• scientific article; zbMATH DE number 5283308 (Why is no real title available?)
• scientific article; zbMATH DE number 5283444 (Why is no real title available?)
• Study on the ruin probabilities in two risk processes
• On the ruin probability of an insurance company in the case of claim sizes distributed as a mixture of shifted exponential distributions.
• On the application of the Laplace transform to a particular case of ruin in ended times
• On finite-time ruin probabilities for classical risk models
• Bounds for the Ruin Probability of a Discrete-Time Risk Process
• scientific article; zbMATH DE number 5631202 (Why is no real title available?)
• scientific article; zbMATH DE number 1323346 (Why is no real title available?)
• scientific article; zbMATH DE number 1995774 (Why is no real title available?)
• scientific article; zbMATH DE number 1516530 (Why is no real title available?)
• Parisian types of ruin probabilities for a class of dependent risk-reserve processes
• On semiparametric estimation of ruin probabilities in the classical risk model
• On the Density and Moments of the Time of Ruin with Exponential Claims
• Ruin probabilities for competing claim processes
• Localization of the spectrum and representation of solutions of linear dynamical systems
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps
• Ruin probabilities for risk processes in a bipartite network
• Ruin probability for hypo-exponential claim in classical risk process with reinsurance
• Ruin probability for a class of risk model
• scientific article; zbMATH DE number 6263078 (Why is no real title available?)
• On the ruin probability of an insurance company when the claim sizes are distributed as a mixture of exponential distributions.
• A Functional Approach for Ruin Probabilities
• scientific article; zbMATH DE number 5260689 (Why is no real title available?)
• On a Class of Renewal Risk Processes
• scientific article; zbMATH DE number 6542452 (Why is no real title available?)
• Ruin problems for risk processes with dependent phase-type claims
• The non-ruin probability for the risk reserve process with exponential type claims
• Adaptive control strategies and dependence of finite time ruin on the premium loading
• On the discounted penalty function in the renewal risk model with general interclaim times

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