On finite-time ruin probabilities for classical risk models
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Publication:3608235
ruin probabilityvalue-at-riskSolvency IIcompound binomial modelcompound Poisson modelballot theorempseudo-distributionsfinite and infinite horizon
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(45)- An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
- Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
- On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model
- Finite-time ruin probabilities using bivariate Laguerre series
- Ruin probability in the three-seasonal discrete-time risk model
- Multiseasonal discrete-time risk model revisited
- 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 distributions of runs in the compound binomial risk model
- Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model
- De Finetti's Dividend Problem and Impulse Control for a Two-Dimensional Insurance Risk Process
- Finite-time ruin probability in the inhomogeneous claim case
- A Fourier-cosine method for finite-time ruin probabilities
- Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
- Distributional study of finite-time ruin related problems for the classical risk model
- Sharp approximations of ruin probabilities in the discrete time models
- On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
- Sensitivity analysis and density estimation for finite-time ruin probabilities
- Occupation measure and local time of classical risk processes
- 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
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- Parisian ruin for the dual risk process in discrete-time
- Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
- Some results of ruin probability for the classical risk process
- On semiparametric estimation of ruin probabilities in the classical risk model
- A cyclic approach on classical ruin model
- Discrete time ruin probability with Parisian delay
- On the Lagrangian Katz family of distributions as a claim frequency model
- Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
- Optimal reinsurance via Dirac-Feynman approach
- The two-barrier escape problem for compound renewal processes with two-sided jumps
- Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
- Finite-time ruin probabilities for discrete, possibly dependent, claim severities
- Some generalization of the ruin probability problem in the classical risk theory
- scientific article; zbMATH DE number 1989780 (Why is no real title available?)
- Finite time ruin probabilities with one Laplace inversion.
- Banach contraction principle, q-scale function and ultimate ruin probability under a Markov-modulated classical risk model
- Functional sensitivity analysis of ruin probability in the classical risk models
- On finite-time ruin probabilities for general risk models
- Bi-seasonal discrete time risk model
- On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
- Takács' asymptotic theorem and its applications: a survey
- First passage time law for some Lévy processes with compound Poisson: existence of a density
- Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
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