Taylor-series expansion for multivariate characteristics of classical risk processes

DOI10.1016/0167-6687(95)00013-5zbMath0855.62094MaRDI QIDQ1921977

Volker Schmidt, Andreas Frey

Publication date: 2 February 1997

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

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00013-5

zbMATH Keywords

derivatives; Taylor series; finite time; severity of ruin; ruin time; surplus prior to ruin; marked Poisson processes; infinite time; compound Poisson input; continuous-time risk model; infinite-horizon joint probabilities

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Expansion formulae for characteristics of cumulative cost in finite horizon production models, A note on expansion for functionals of spatial marked point processes, 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

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