A nonhomogeneous risk model for insurance

DOI10.1016/J.CAMWA.2005.11.005zbMATH Open1161.91418OpenAlexW2041075025MaRDI QIDQ2494797FDOQ2494797

Authors: Philippe Picard, Claude Lefèvre 

Publication date: 30 June 2006

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2005.11.005

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zbMATH Keywords

Finite-time ruin probabilityNonstationary claim amountsNonuniform premium income processPseudopolynomials of Appell type

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50)

Cites Work

• Ruin problems with assets and liabilities of diffusion type
• Title not available (Why is that?)
• The probability of ruin in finite time with discrete claim size distribution
• Ruin problems with compounding assets
• Finite and infinite time ruin probabilities in a stochastic economic environment.
• Ruin theory with stochastic return on investments
• Recursive calculation of finite-time ruin probabilities
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• First crossing of basic counting processes with lower non-linear boundaries: A unified approach through pseudopolynomials (I)
• Recursive calculation of finite time ruin probabilities under interest force.
• Ruin probabilities with compounding assets
• Multirisks model and finite-time ruin probabilities
• Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
• Two-Sided Bounds for the Finite Time Probability of Ruin
• RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• Classical risk theory in an economic environment
• The adjustment function in ruin estimates under interest force

Cited In (30)

• Risk aggregation in non-life insurance: standard models vs. internal models
• Estimates for non-ruin probability of insurance company in the discrete time model
• Appell pseudopolynomials and Erlang-type risk models
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Discrete compound Poisson process with curved boundaries: Polynomial structures and recur\,sions
• Explicit moments for a class of micro-models in non-life insurance
• On finite-time ruin probabilities in a generalized dual risk model with dependence
• Survival probabilities in bivariate risk models, with application to reinsurance
• Lundberg-type inequalities for non-homogeneous risk models
• Ruin probabilities as functions of the roots of a polynomial
• On the analysis of ruin-related quantities in the nonhomogeneous compound Poisson risk model
• Bi-seasonal discrete time risk model
• Finite-time ruin probability in the inhomogeneous claim case
• Some inequalities for the risk function in the time and space nonhomogeneous Cramér-Lundberg risk model
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• Multiseasonal discrete-time risk model revisited
• Polynomial structures in rank statistics distributions
• On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims
• A Lundberg-type inequality for an inhomogeneous renewal risk model
• The multi-year non-life insurance risk in the additive loss reserving model
• A new look at the homogeneous risk model
• On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
• An uncertain alternating renewal insurance risk model
• Title not available (Why is that?)
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• More for less insurance model: an alternative to (re)insurance
• Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
• Homogeneous risk models with equalized claim amounts

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