Non-Poissonian claims' arrivals and calculation of the probability of ruin
From MaRDI portal
Publication:1265923
DOI10.1016/S0167-6687(98)80001-2zbMath0907.90099OpenAlexW1989463696WikidataQ127488022 ScholiaQ127488022MaRDI QIDQ1265923
Publication date: 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(98)80001-2
simulationimportance samplingruin probabilitiescollective riskAndersen's modelheavy-tailed interclaim distributionsnon-Poissonian claims arrival processes
Applications of statistics to actuarial sciences and financial mathematics (62P05) Special processes (60K99)
Related Items
Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis, Equitable solvent controls in a multi-period game model of risk, On the ruin time distribution for a Sparre Andersen process with exponential claim sizes, Approximations in the problem of level crossing by a compound renewal process, Adaptive control strategies and dependence of finite time ruin on the premium loading, Laplace transform of the survival probability under Sparre Andersen model, Asymptotic estimates of Gerber-Shiu functions in the renewal risk model with exponential claims, The balloting problem for random streams and its relation to problems in risk theory, A link between wave governed random motions and ruin processes, On the discounted penalty function in the renewal risk model with general interclaim times, Simulation analysis of ruin capital in Sparre Andersen's model of risk, On the discounted penalty function in a discrete time renewal risk model with general interclaim times, Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk, Mixed fractional risk process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Conjugate processes and the simulation of ruin problems
- The Fourier-series method for inverting transforms of probability distributions
- Aspects of risk theory
- Importance sampling in the Monte Carlo study of sequential tests
- Approximations for the probability of ruin within finite time
- Ruin probabilities expressed in terms of ladder height distributions
- Corrected normal approximation for the probability of ruin within finite time
- The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
- The Pareto Distribution as a Queue Service Discipline