Calculation of finite time ruin probabilities for some risk models

DOI10.1016/J.INSMATHECO.2004.11.005MaRDI QIDQ2581776zbMATH OpenOpenAlexFDO

Authors Rui M. R. Cardoso, Howard R. Waters

Publication date 10 January 2006

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2004.11.005

zbMATH Keywords

Markov chainsNumerical algorithms

Mathematics Subject Classification ID

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Cites work

• Calculation of Ruin Probabilities when the Premium Depends on the Current Reserve
• Diffusion approximations for a risk process with the possibility of borrowing and investment
• scientific article; zbMATH DE number 679625 (Why is no real title available?)
• scientific article; zbMATH DE number 3345319 (Why is no real title available?)
• scientific article; zbMATH DE number 3354485 (Why is no real title available?)
• On a gamma series expansion for the time-dependent probability of collective ruin
• Probability of ruin with variable premium rate
• Recursive calculation of finite time ruin probabilities under interest force.
• Ruin estimation for a general insurance risk model
• Ruin probabilities expressed in terms of storage processes
• The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case
• The Recurrence Classification of Risk and Storage Processes

Cited in

(12)

• Recursive calculation of finite-time ruin probabilities
• Recursive calculation of time to ruin distributions.
• Recursive calculation of finite time ruin probabilities under interest force.
• Calculation of the temporal characteristics of ruin of an insurance company for a model with input risk flow intensity, which depends on the number of insured risks
• The finite/infinite horizon ruin problem with multi-threshold premiums: a Markov fluid queue approach
• A multinomial approximation approach for the finite time survival probability under the Markov-modulated risk model
• Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
• Calculating continuous time ruin probabilities for a large portfolio with varying premiums
• Ruin probabilities and the ruin time distribution
• Computing finite-time survival probabilities using multinomial approximations of risk models
• Dividends in finite time horizon
• Soft risk maps of natural disasters and their applications to decision-making

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