Approximations to ruin probability in the presence of an upper absorbing barrier
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Publication:3707220
DOI10.1080/03461238.1984.10413758zbMath0584.62174OpenAlexW2058640363MaRDI QIDQ3707220
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Publication date: 1984
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1984.10413758
numerical approximationsembedded Markov chainabsorbing upper barrierexact solutions for ruin probabilities
Related Items (25)
Ruin problems and dual events ⋮ The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case ⋮ On the time and the number of claims when the surplus drops below a certain level ⋮ Mathematical model of banking operation ⋮ Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims ⋮ Recursive calculation of time to ruin distributions. ⋮ Some characteristics of a surplus process in the presence of an upper barrier. ⋮ How many claims does it take to get ruined and recovered? ⋮ The maximum severity of ruin in a perturbed risk process with Markovian arrivals ⋮ On the generalized Gerber-Shiu function for surplus processes with interest ⋮ Recursive calculation of finite time ruin probabilities under interest force. ⋮ Computing survival probabilities based on stochastic differential models ⋮ Markov chain approximations to scale functions of Lévy processes ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ On a Class of Renewal Risk Processes ⋮ Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier ⋮ On the distribution of the surplus prior to ruin ⋮ Two-sided exit problems in the ordered risk model ⋮ When does surplus reach a given target before ruin in the Markov-modulated diffusion model? ⋮ On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier ⋮ Optimal prevention strategies in the classical risk model ⋮ On the distribution of the duration of negative surplus ⋮ The expected time to ruin in a risk process with constant barrier via martingales ⋮ The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model ⋮ The win-first probability under interest force
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