Ruin probabilities for risk models with ordered claim arrivals

DOI10.1007/S11009-013-9334-YMaRDI QIDQ2513660zbMATH OpenOpenAlexFDO

Authors Philippe Picard, Claude Lefèvre

Publication date 28 January 2015

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-013-9334-y

zbMATH Keywords

(mixed) Poisson processAppell polynomialsfinite or infinite horizonlinear birth process with immigrationlinear death processorder statisticsruin probability

Mathematics Subject Classification ID

Special polynomials in general fields (12E10) Stopping times; optimal stopping problems; gambling theory (60G40) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Order statistics; empirical distribution functions (62G30) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Ruin and deficit under claim arrivals with the order statistics property
• A new look at the homogeneous risk model
• Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• Duality in ruin problems for ordered risk models
• Appell pseudopolynomials and Erlang-type risk models

Cites work

• A finite-time ruin probability formula for continuous claim severities
• A new look at the homogeneous risk model
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• First crossing of basic counting processes with lower non-linear boundaries: A unified approach through pseudopolynomials (I)
• Homogeneous risk models with equalized claim amounts
• scientific article; zbMATH DE number 5640261 (Why is no real title available?)
• scientific article; zbMATH DE number 54039 (Why is no real title available?)
• scientific article; zbMATH DE number 1257656 (Why is no real title available?)
• scientific article; zbMATH DE number 3301915 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Inequality extensions of Prabhu's formula in ruin theory
• Mathematical fun with ruin theory
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• On the characterization of point processes with the order statistic property without the moment condition
• On the first meeting or crossing of two independent trajectories for some counting processes.
• Ruin probabilities
• The probability of ruin in finite time with discrete claim size distribution

Cited in

(14)

• Duality in ruin problems for ordered risk models
• Distributional study of finite-time ruin related problems for the classical risk model
• On double-boundary non-crossing probability for a class of compound processes with applications
• Ruin and deficit under claim arrivals with the order statistics property
• Two-sided exit problems in the ordered risk model
• Approximating the probability density function of a transformation of random variables
• A unified analysis of claim costs up to ruin in a Markovian arrival risk model
• Appell pseudopolynomials and Erlang-type risk models
• Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• Fraud risk assessment within blockchain transactions
• Risk models of order k
• Risk models in insurance and epidemics: a bridge through randomized polynomials
• Ordering of risks and ruin probabilities
• A new look at the homogeneous risk model

This page was built for publication: Ruin probabilities for risk models with ordered claim arrivals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2513660)