Ruin probabilities based at claim instants for some non-Poisson claim processes

DOI10.1016/S0167-6687(99)00047-5zbMATH Open1013.91068MaRDI QIDQ1584520FDOQ1584520

Authors: David A. Stanford, Krzysztof J. Stroiński, Karen Lee 

Publication date: 6 July 2003

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

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zbMATH Keywords

ruin probabilityrecursive methodsnon-Poisson claim processesnon-Poisson risk processes

Mathematics Subject Classification ID

Cites Work

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• Computational methods in risk theory: a matrix-algorithmic approach
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• Recursive calculation of finite-time ruin probabilities
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Phase-type representations in random walk and queueing problems
• Title not available (Why is that?)
• Representation and explicit calculation of Finite-time ruin probabilities
• Diffusion premiums for claim severities subject to inflation

Cited In (13)

• Recursive methods for a multi-dimensional risk process with common shocks
• On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model
• Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
• Computational methods in risk theory: a matrix-algorithmic approach
• Some ruin problems for the MAP risk model
• The non-ruin probability for the risk reserve process with exponential type claims
• Finite time ruin probabilities with one Laplace inversion.
• How many claims does it take to get ruined and recovered?
• On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims
• Erlangian approximation to finite time ruin probabilities in perturbed risk models
• On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
• PH approximation of two-barrier ruin probability for Lévy risk having two-sided PH jumps
• Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims

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