Stationarity aspects of the sparre andersen risk process and the corresponding ruin probabilitles

DOI10.1080/03461238.1975.10405083zbMath0315.60050OpenAlexW2037509007MaRDI QIDQ4076601

Olof Thorin

Publication date: 1975

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

Full work available at URL: https://doi.org/10.1080/03461238.1975.10405083

Mathematics Subject Classification ID

Special processes (60K99) Renewal theory (60K05)

Related Items

Banach contraction principle and ruin probabilities in regime-switching models ⋮ The equivalence of the infinite time ruin problems for positive and negative risk models ⋮ Analysis of IBNR claims in renewal insurance models ⋮ Computational methods in risk theory: a matrix-algorithmic approach ⋮ Recursive Moments of Compound Renewal Sums with Discounted Claims ⋮ Moments of compound renewal sums with discounted claims ⋮ Stationarity and the start of a renewal process ⋮ Ruin probabilities prepared for numerical calculation ⋮ An insensitivity property of the ruin probability ⋮ Stationary semi-Markov models in risk and queueing theories ⋮ On the interaction between risk and queueing theories ⋮ Probabilities of ruin

Cites Work

• Unnamed Item
• On the asymptotic behavior of the ruin probability for an infinite period when the epochs of claims form a renewal process
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)