Further use of Shiu's approach to the evaluation of ultimate ruin probabilities

DOI10.1016/0167-6687(88)90085-6zbMATH Open0675.62075OpenAlexW2075870689MaRDI QIDQ1122285FDOQ1122285

Authors: Gordon E. Willmot 

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)90085-6

Recommendations

• On the numerical evaluation of the ultimate ruin probability
• Evaluating ruin probabilities: a streamlined approach
• scientific article; zbMATH DE number 1865409
• scientific article; zbMATH DE number 2217292
• Estimation of ruin probabilities by means of hazard rates
• scientific article
• Improved Asymptotics for Ruin Probabilities
• A Functional Approach for Ruin Probabilities
• scientific article; zbMATH DE number 2169325
• On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities

zbMATH Keywords

confluent hypergeometric functiongamma distributionseries expansionstail probabilitiesruin probabilitiesstorage theorycontinuous uniform claim sizesprobability of ultimate ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Queueing theory (aspects of probability theory) (60K25)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Title not available (Why is that?)
• Mathematical fun with ruin theory
• Title not available (Why is that?)
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the relationship between the Poisson-exponential model and the non-central chi-squared distribution
• A series for infinite time ruin probabilities
• Convolution of uniform distributions and ruin probability
• The poisson-exponential model and the Non-Central Chi-squared distribution

Cited In (12)

• Compound geometric residual lifetime distributions and the deficit at ruin.
• On series expansions for scale functions and other ruin-related quantities
• Exact and approximate properties of the distribution of surplus before and after ruin
• The expected discounted penalty at ruin in the risk process with random income
• On a class of approximations for ruin and waiting time probabilities
• Analysis of a defective renewal equation arising in ruin theory
• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• On the class of Erlang mixtures with risk theoretic applications
• On the approximation of functions satisfying defective renewal equations
• On the probability of ruin for infinitely divisible claim amount distributions
• Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
• Ruin probability by operational calculus

This page was built for publication: Further use of Shiu's approach to the evaluation of ultimate ruin probabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1122285)