Simple approximations of ruin probabilities
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Publication:1584513
DOI10.1016/S0167-6687(99)00050-5zbMATH Open0986.62086MaRDI QIDQ1584513FDOQ1584513
Authors: Jan Grandell 
Publication date: 18 February 2001
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)
Cites Work
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Cited In (53)
- PH approximation of two-barrier ruin probability for Lévy risk having two-sided PH jumps
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- Asymptotic ruin probabilities of the Lévy insurance model under periodic taxation
- On the Density and Moments of the Time of Ruin with Exponential Claims
- Erlangian Approximations for Finite-Horizon Ruin Probabilities
- De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
- On the upcrossing and downcrossing probabilities of a dual risk model with phase-type gains
- Analysis of a multivariate claim process
- Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
- The perturbed compound Poisson risk process with investment and debit interest
- Title not available (Why is that?)
- On a remark of De Vylder
- Functional sensitivity analysis of ruin probability in the classical risk models
- Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
- Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
- Risk processes with non-stationary Hawkes claims arrivals
- A Review on Phase-type Distributions and their Use in Risk Theory
- Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
- Fourier-cosine method for ruin probabilities
- Risk Theory with the Generalized Inverse Gaussian Lévy Process
- Optimal control of capital injections by reinsurance in a diffusion approximation
- Inequalities for the De Pril approximation to the distribution of the number of policies with claims
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
- An optimal investment strategy with maximal risk aversion and its ruin probability
- Extremes of Markov-additive processes with one-sided jumps, with queueing applications
- The de Vylder-Goovaerts conjecture holds within the diffusion limit
- Power estimates for ruin probabilities
- Finite-time ruin probabilities for discrete, possibly dependent, claim severities
- On One Estimate of the Ruin Probability
- What is the best approximation of ruin probability in infinite time?
- Portfolio optimization in stochastic markets
- Power tailed ruin probabilities in the presence of risky investments.
- De Vylder type approximation of the ruin probability for the insurer-reinsurer model
- Sharp approximations of ruin probabilities in the discrete time models
- The approximations of the ruin probability in classical risk model
- Lundberg-type bounds and asymptotics for the moments of the time to ruin
- Practical approaches to the estimation of the ruin probability in a risk model with additional funds
- A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes
- A survey of some recent results on risk theory
- Parisian ruin probability -- the De Vylder type approximation
- Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
- Simple approximations of ruin probabilities
- On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
- Upper and lower bounds for the solutions of Markov renewal equations
- On moments based Padé approximations of ruin probabilities
- Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
- Cramér-Lundberg model with stochastic premiums and continuous non-insurance costs
- Bounds for convergence rate in laws of large numbers for mixed Poisson random sums
- Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails
- Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
- Approximate solutions of severity of ruins
- The use of vector-valued martingales in risk theory
- An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion.
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