Finite time ruin probabilities with one Laplace inversion.

DOI10.1016/S0167-6687(03)00117-3zbMath1074.91026OpenAlexW2069404500MaRDI QIDQ1413406

Florin Avram, Miguel A. Usábel

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00117-3

zbMATH Keywords

Laplace transformFinite-time ruin probabilityDeficit at ruinPhase-type distributionLundberg's equation

Mathematics Subject Classification ID

Related Items (12)

On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model ⋮ Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Stability of the exit time for Lévy processes ⋮ Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ Finite time ruin probabilities with one Laplace inversion. ⋮ Bayesian estimation of finite time ruin probabilities ⋮ BAYESIAN ESTIMATION OF RUIN PROBABILITIES WITH A HETEROGENEOUS AND HEAVY‐TAILED INSURANCE CLAIM‐SIZE DISTRIBUTION ⋮ On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes ⋮ Risk processes analyzed as fluid queues ⋮ A Direct Approach to a First-Passage Problem with Applications in Risk Theory ⋮ On finite-time ruin probabilities with reinsurance cycles influenced by large claims ⋮ The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process

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