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

DOI10.1016/0167-6687(88)90085-6MaRDI QIDQ1122285zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• A series for infinite time ruin probabilities
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Convolution of uniform distributions and ruin probability
• Mathematical fun with ruin theory
• On the relationship between the Poisson-exponential model and the non-central chi-squared distribution
• The poisson-exponential model and the Non-Central Chi-squared distribution
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations

Cited in

(12)

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

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