Practical approximations for multivariate characteristics of risk processes

DOI10.1016/S0167-6687(99)00023-2zbMath0946.91026OpenAlexW2118976395MaRDI QIDQ1974037

Miguel A. Usábel

Publication date: 8 May 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00023-2

zbMATH Keywords

recursive procedurepower series expansionsmultiple integralsdouble Laplace transformsfinite time multivariate ruin probability

Mathematics Subject Classification ID

Uses Software

• Maple

Cites Work

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• On the distribution of the claim causing ruin
• Numerical inversion of the Laplace transform: a survey and comparison of methods
• The surpluses immediately before and at ruin, and the amount of the claim causing ruin
• Recursive calculation of the probability and severity of ruin
• Taylor-series expansion for multivariate characteristics of classical risk processes
• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• Approximations for the probability of ruin within finite time
• Light Traffic Limits of Sojourn Time Distributions in Markovian Queueing Networks
• Power Series for Stationary Distributions of Coupled Processor Models
• The power-series algorithm applied to cyclic polling systems
• Calculating light traffic limits for sojourn times in open markovian queueing systems
• Numerical inversions of characteristic functions
• How to calculate ruin probabilities according to the classical risk theory
• Numerical inversion of characteristic functions
• Ruin probabilities prepared for numerical calculation
• A class of approximations of ruin probabilities
• Fourier inversion—distribution functions—long tails
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
• Light-Traffic Analysis for Queues with Spatially Distributed Arrivals
• Diffusion approximations in collective risk theory
• New quadrature formulas for the numerical inversion of the Laplace transform

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