Calculation of the probability of eventual ruin by Beekman's convolution series

DOI10.1016/0167-6687(88)90095-9zbMath0664.62112OpenAlexW2029454822MaRDI QIDQ1115077

Elias S. W. Shiu

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)90095-9

zbMATH Keywords

ruin probabilitycollective risk modelPoisson claim number processBeekman's convolution series

Mathematics Subject Classification ID

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

Related Items (24)

Finite-time ruin probabilities for discrete, possibly dependent, claim severities ⋮ Bi-seasonal discrete time risk model ⋮ An improvement to the convolution method of calculating \(\psi\) (u) ⋮ The expected discounted penalty at ruin in the risk process with random income ⋮ Explicit analytic ruin probabilities for bounded claims ⋮ Ruin probability in the three-seasonal discrete-time risk model ⋮ 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 ⋮ Finite-time ruin probability in the inhomogeneous claim case ⋮ Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model ⋮ Bi-seasonal discrete time risk model with income rate two ⋮ Multiseasonal discrete-time risk model revisited ⋮ On series expansions for scale functions and other ruin-related quantities ⋮ Unnamed Item ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ On finite-time ruin probabilities for classical risk models ⋮ On a generalization from ruin to default in a Lévy insurance risk model ⋮ Ruin probabilities for risk models with ordered claim arrivals ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ Ruin probability by operational calculus ⋮ On the numerical evaluation of the ultimate ruin probability ⋮ Ruin probabilities based at claim instants for some non-Poisson claim processes ⋮ Note on the bi-risk discrete time risk model with income rate two ⋮ On the Class of Erlang Mixtures with Risk Theoretic Applications

Cites Work

• A series for infinite time ruin probabilities
• A collective risk comparative study
• An improvement to the convolution method of calculating \(\psi\) (u)
• A method and two algorithms on the theory of partitions
• On the Distribution of the Supremum Functional for Processes with Stationary Independent Increments
• On Queues with Poisson Arrivals
• The Supremum and Infimum of the Poisson Process
• Probabilities of ruin
• Convolution of uniform distributions and ruin probability
• Coefficient Identities for Powers of Taylor and Dirichlet Series
• On the Distribution of the Supremum for Stochastic Processes with Interchangeable Increments
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