Mathematical fun with ruin theory
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Publication:1110974
DOI10.1016/0167-6687(88)90091-1zbMath0657.62121OpenAlexW2010443999MaRDI QIDQ1110974
Publication date: 1988
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(88)90091-1
martingalesconditional probabilityrisk processruin theorypremiumsinclusion-exclusionclaimssurplusprobability of ruinupcrossingsconvolution of uniform distributions
Related Items (31)
On the first crossing of the surplus process with a given upper barrier ⋮ How long is the surplus below zero? ⋮ Compound binomial risk model in a Markovian environment with capital cost and the calculation algorithm ⋮ On \(2\times 2\) determinants originating from survival probabilities in homogeneous discrete time risk model ⋮ Further use of Shiu's approach to the evaluation of ultimate ruin probabilities ⋮ The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model ⋮ Bi-seasonal discrete time risk model with income rate two ⋮ Multiseasonal discrete-time risk model revisited ⋮ Aging and other distributional properties of discrete compound geometric distributions ⋮ Differentiation of some functionals of risk processes, and optimal reserve allocation ⋮ On the Time Value of Ruin ⋮ Discrete-Time Risk Models Based on Time Series for Count Random Variables ⋮ On the Probability of (Non-) Ruin in Infinite Time ⋮ Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation ⋮ A two-sided first-exit problem for a compound Poisson process with a random upper boundary ⋮ Compound binomial risk model in a Markovian environment ⋮ Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model ⋮ First passage problems for upwards skip-free random walks via the scale functions paradigm ⋮ Ruin probabilities for risk models with ordered claim arrivals ⋮ A Fourier-cosine method for finite-time ruin probabilities ⋮ Properties of a risk measure derived from the expected area in red ⋮ Ruin Probabilities in the Compound Markov Binomial Model ⋮ Ruin probability by operational calculus ⋮ On the discrete-time compound renewal risk model with dependence ⋮ A cyclic approach on classical ruin model ⋮ On the infinite-horizon probability of (non)ruin for integer-valued claims ⋮ Exact boundaries in sequential testing for phase-type distributions ⋮ Inequality extensions of Prabhu's formula in ruin theory ⋮ Note on the bi-risk discrete time risk model with income rate two ⋮ Some results on the compound Markov binomial model ⋮ When does the surplus reach a given target?
Cites Work
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