Approximation of the initial reserve for known ruin probabilities

DOI10.1016/0167-6687(86)90031-4MaRDI QIDQ1089712zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(4)

• scientific article; zbMATH DE number 1883578 (Why is no real title available?)
• 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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