Ruin probabilities prepared for numerical calculation

DOI10.1080/03461238.1977.10405068MaRDI QIDQ4144669zbMATH OpenOpenAlexFDO

Authors Olof Thorin

Publication date 1977

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

Full work available at URL https://doi.org/10.1080/03461238.1977.10405068

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites work

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

Cited in

(7)

• Equation for survival probability in a finite time interval in case of non-zero real interest force
• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• Practical approximations for multivariate characteristics of risk processes
• Cramér-Lundberg approximation for nonlinearly perturbed risk processes
• The ruin problem for mixed poisson risk processes
• Probabilities of ruin
• How to calculate ruin probabilities according to the classical risk theory

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