Ruin probabilities for risk models with ordered claim arrivals

DOI10.1007/s11009-013-9334-yzbMath1307.91098OpenAlexW1981112092MaRDI QIDQ2513660

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

order statisticsruin probabilityAppell polynomialslinear birth process with immigrationlinear death processfinite or infinite horizon(mixed) Poisson process

Mathematics Subject Classification ID

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

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RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS, 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, Fraud risk assessment within blockchain transactions

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