Estimation of ruin probabilities

DOI10.1016/0167-6687(82)90007-5zbMath0496.62089OpenAlexW2064183243MaRDI QIDQ1169998

Jozef L. Teugels

Publication date: 1982

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(82)90007-5

zbMATH Keywords

finite planning horizoncompound Poisson claim size processestimation of ruin probabilities

Mathematics Subject Classification ID

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

Related Items (7)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ Estimates for the probability of ruin starting with a large initial reserve ⋮ How retention levels influence the variability of the total risk under reinsurance ⋮ On the randomized Schmitter problem ⋮ Level premium rates as a function of initial capital ⋮ Risk theory insight into a zone-adaptive control strategy ⋮ Conjugate processes and the simulation of ruin problems

Cites Work

• Best upper bounds for integrals with respect to measures allowed to vary under conical and integral constraints
• Numerical best bounds on stop-loss premiums
• Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions
• Upper bounds on stop-loss premiums under constraints on claim size distribution
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Estimation of ruin probabilities