Approximation of the initial reserve for known ruin probabilities

DOI10.1016/0167-6687(86)90031-4zbMATH Open0619.62099OpenAlexW2088039916MaRDI QIDQ1089712FDOQ1089712

Authors: Edward W. Frees 

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90031-4

Recommendations

• Estimates for the probability of ruin starting with a large initial reserve
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• scientific article; zbMATH DE number 1865409

zbMATH Keywords

kernel estimationARMAfinite timequantile estimationrisk theoryapproximation of the initial reverseCompound Poissonknown ruin probabilitiesnet liability processStochastic discounting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20)

Cites Work

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• Wear convergence of stochastic approximation processes with random indices

Cited In (4)

• Title not available (Why is that?)
• Some approximations of ultimate ruin probability for finite initial surplus
• The hurdle-race problem.
• Estimates for the probability of ruin starting with a large initial reserve

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