Probabilities of ruin

DOI10.1080/03461238.1982.10405105MaRDI QIDQ3667817zbMATH OpenOpenAlexFDO

Authors Olof Thorin

Publication date 1982

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

Full work available at URL https://doi.org/10.1080/03461238.1982.10405105

zbMATH Keywords

Andersen modelcollective risk theoryordinary renewal processruin probabilitystationary renewal processWiener-Hopf technique

Mathematics Subject Classification ID

Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

• Asymptotic ruin probabilities when exponential moments do not exist
• How to calculate ruin probabilities according to the classical risk theory
• scientific article; zbMATH DE number 3532286 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Martingales and ruin in a dynamical risk process
• On the asymptotic behavior of the ruin probability for an infinite period when the epochs of claims form a renewal process
• Probability of ruin with variable premium rate
• Ruin probabilities prepared for numerical calculation
• Stationarity and the start of a renewal process
• Stationarity aspects of the sparre andersen risk process and the corresponding ruin probabilitles
• What is the Laplace Transform?

Cited in

(7)

• Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Cramér-Lundberg approximation for nonlinearly perturbed risk processes
• The equivalence of the infinite time ruin problems for positive and negative risk models
• Corrected normal approximation for the probability of ruin within finite time
• A tale of two (and more) altruists
• On a Class of Renewal Risk Processes

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