Calculation of the probability of eventual ruin by Beekman's convolution series
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Publication:1115077
DOI10.1016/0167-6687(88)90095-9zbMath0664.62112MaRDI QIDQ1115077
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
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
Finite-time ruin probability in the inhomogeneous claim case, Finite-time ruin probabilities for discrete, possibly dependent, claim severities, The expected discounted penalty at ruin in the risk process with random income, Stochastic successive approximation method for assessing the insolvency risk of an insurance company, An improvement to the convolution method of calculating \(\psi\) (u), Further use of Shiu's approach to the evaluation of ultimate ruin probabilities, Ruin probability by operational calculus, Ruin probabilities based at claim instants for some non-Poisson claim processes, Explicit analytic ruin probabilities for bounded claims, Analysis of a defective renewal equation arising in ruin theory, On finite-time ruin probabilities for classical risk models, On the numerical evaluation of the ultimate ruin probability
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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