On the finite-time survival probability for a kind of risk models

zbMATH Open1174.91511MaRDI QIDQ3609700FDOQ3609700

Authors: Hui-li Wang, Zhiping Ren, Zhongke Shi 

Publication date: 6 March 2009

Recommendations

• Laplace transform of the survival probability under Sparre Andersen model
• scientific article; zbMATH DE number 2162630
• Ruin probability in Sparre Andersen risk model with claim inter-arrival times distributed as Erlang
• Explicit Solutions for Survival Probabilities in the Classical Risk Model
• A class of Sparre Andersen risk process

zbMATH Keywords

survival probabilitytime to ruindouble Laplace transformErlang 2 risk model

Mathematics Subject Classification ID

Cited In (9)

• Explicit Solutions for Survival Probabilities in the Classical Risk Model
• Computing finite-time survival probabilities using multinomial approximations of risk models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Survival probability for a two-dimensional risk model
• Title not available (Why is that?)
• The survival probability of the SABR model: asymptotics and application
• Constructing Random Times with Given Survival Processes and Applications to Valuation of Credit Derivatives
• Survival probabilities for discrete-time models in one dimension

This page was built for publication: On the finite-time survival probability for a kind of risk models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3609700)