Recursive calculation of the probability and severity of ruin
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Publication:1824337
DOI10.1016/0167-6687(89)90028-0zbMath0682.62083OpenAlexW2017071243MaRDI QIDQ1824337
Publication date: 1989
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(89)90028-0
exponential distributionssurvival probabilityrecursive methodseverity of ruingamma distributionsprobability of ruincollective risk theoryclaim amount distribution
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The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case ⋮ Taylor-series expansion for multivariate characteristics of classical risk processes ⋮ A solution to the ruin problem for Pareto distributions. ⋮ A note on the Taylor series expansions for multivariate characteristics of classical risk processes ⋮ Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique ⋮ Practical approximations for multivariate characteristics of risk processes ⋮ On the severity of ruin in a Markov-modulated risk model ⋮ On the Distribution of the Deficit at Ruin when Claims are Phase-type ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ The deficit at ruin in the stationary renewal risk model ⋮ On the distribution of the duration of negative surplus ⋮ Approximate solutions of severity of ruins
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