On finite-time ruin probabilities for classical risk models

DOI10.1080/03461230701766882zbMATH Open1164.91033OpenAlexW2010508280MaRDI QIDQ3608235FDOQ3608235

Authors: Loisel Stéphane, Claude Lefèvre 

Publication date: 28 February 2009

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230701766882

Recommendations

• Some comparison results for finite-time ruin probabilities in the classical risk model
• On finite-time ruin probabilities for general risk models
• On approximations to the ruin probability for the classical risk process
• Distributional study of finite-time ruin related problems for the classical risk model
• The approximations of the ruin probability in classical risk model
• Some results of ruin probability for the classical risk process
• On the Ruin Probability Under a Class of Risk Processes
• The asymptotic behavior for the ruin probability in the classical risk model
• Ruin probability for a class of risk model
• scientific article; zbMATH DE number 1989780

zbMATH Keywords

ruin probabilityvalue-at-riskSolvency IIcompound binomial modelcompound Poisson modelballot theorempseudo-distributionsfinite and infinite horizon

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• On the Time Value of Ruin
• Aspects of risk theory
• On the Ruin Problem of Collective Risk Theory
• Title not available (Why is that?)
• Title not available (Why is that?)
• UPPER FIRST-EXIT TIMES OF COMPOUND POISSON PROCESSES REVISITED
• Recursive calculation of finite-time ruin probabilities
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Probabilité de ruine éventuelle dans un modèle de risque à temps discret
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Discounted probabilities and ruin theory in the compound binomial model
• A finite-time ruin probability formula for continuous claim severities
• Ruin probabilities in the compound binomial model
• A Generalization of the Ballot Problem and its Application in the Theory of Queues
• Recursive calculation of finite time ruin probabilities under interest force.
• Some recent results on the distributions of stopping times of compound Poisson processes with linear boundaries
• Ballot theorems revisited
• Two-Sided Bounds for the Finite Time Probability of Ruin
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• Classical numerical ruin probabilities
• On a gamma series expansion for the time-dependent probability of collective ruin

Cited In (45)

• De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
• On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions
• Optimal reinsurance via Dirac-Feynman approach
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• A cyclic approach on classical ruin model
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model
• On distributions of runs in the compound binomial risk model
• Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
• The maximum surplus in a finite-time interval for a discrete-time risk model with exchangeable, dependent claim occurrences
• Parisian ruin for the dual risk process in discrete-time
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
• Functional sensitivity analysis of ruin probability in the classical risk models
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• Bi-seasonal discrete time risk model
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• Finite-time ruin probabilities using bivariate Laguerre series
• Finite time ruin probabilities with one Laplace inversion.
• Finite-time ruin probability in the inhomogeneous claim case
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• Takács' asymptotic theorem and its applications: a survey
• Multiseasonal discrete-time risk model revisited
• A Fourier-cosine method for finite-time ruin probabilities
• Title not available (Why is that?)
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Sharp approximations of ruin probabilities in the discrete time models
• Ruin probability in the three-seasonal discrete-time risk model
• A note on ruin problems in perturbed classical risk models
• Computing finite time non-ruin probability and some joint distributions in discrete time risk model with exchangeable claim occurrences
• On finite-time ruin probabilities for general risk models
• Discrete time ruin probability with Parisian delay
• On semiparametric estimation of ruin probabilities in the classical risk model
• On the Lagrangian Katz family of distributions as a claim frequency model
• Sensitivity analysis and density estimation for finite-time ruin probabilities
• Some results of ruin probability for the classical risk process
• Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
• Some generalization of the ruin probability problem in the classical risk theory
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• Distributional study of finite-time ruin related problems for the classical risk model
• Occupation measure and local time of classical risk processes
• Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
• First passage time law for some Lévy processes with compound Poisson: existence of a density
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.

This page was built for publication: On finite-time ruin probabilities for classical risk models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3608235)