Approximation for ruin probability in the Sparre Andersen model with interest
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Cites work
- On the expected discounted penalty function at ruin of a surplus process with interest.
- RPA pathwise derivative estimation of ruin probabilities
- Recursive calculation of time to ruin distributions.
- Ruin estimates under interest force
- Ruin probabilities and penalty functions with stochastic rates of interest
- Ruin probability about dual Poisson model with discrete time
- Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
Cited in
(9)- Bounds for the probability and severity of ruin in the Sparre Andersen model
- Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
- Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
- The deficit at ruin in the Sparre Andersen model with interest
- DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
- On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
- Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
- scientific article; zbMATH DE number 5257238 (Why is no real title available?)
- Ruin probability about dual Poisson model with discrete time
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