Calculating Continuous Time Ruin Probabilities for a Large Portfolio with Varying Premiums

DOI10.2143/AST.39.1.2038059zbMath1203.91108OpenAlexW2153777612MaRDI QIDQ3067086

Alfredo D. Egídio dos Reis, Lourdes B. Afonso, Howard R. Waters

Publication date: 20 January 2011

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.39.1.2038059

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (4)

MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE ⋮ A risk model with varying premiums: its risk management implications ⋮ Discrete-time risk models with surplus-dependent premium corrections ⋮ Ruin problems for a discrete time risk model with non-homogeneous conditions

Cites Work

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• Optimal Dynamic Reinsurance

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