A series for infinite time ruin probabilities

DOI10.1016/0167-6687(85)90007-1MaRDI QIDQ1059971zbMATH OpenOpenAlexWikidataFDO

Authors John A. Beekman

Publication date 1985

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

Full work available at URL https://doi.org/10.1016/0167-6687(85)90007-1

zbMATH Keywords

claim densitieserror approximationinfinite seriesinfinite time ruin probabilitiesinverse Gaussian distributionmaximum likelihood estimatorsPoisson model for numbers of claims

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

An error approximation for the first N terms of a well known infinite series for the infinite time ruin probabilities is used to study claim densities related to the inverse Gaussian distribution.

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3635287 (Why is no real title available?)
• scientific article; zbMATH DE number 3223248 (Why is no real title available?)
• Statistical Properties of Inverse Gaussian Distributions. I

Cited in

(7)

• A collective risk comparative study
• An improvement to the convolution method of calculating \(\psi\) (u)
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income
• On the numerical evaluation of the ultimate ruin probability
• “Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends,” Hans U. Gerber and Elias S. W. Shiu, July 2003

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