Corrected normal approximation for the probability of ruin within finite time

DOI10.1080/03461238.1994.10413938MaRDI QIDQ4322971zbMATH OpenOpenAlexFDO

Authors Vsevolod K. Malinovskii

Publication date 16 September 1996

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

Full work available at URL https://doi.org/10.1080/03461238.1994.10413938

zbMATH Keywords

asymptotic expansionsfinite time ruin probabilityladder height distributionsstopped random sequencesAnderson's risk modelnew second-order approximationnormal-type approximation

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3517666 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• An asymptotic expression for the probability of ruin within finite time
• Approximations for the probability of ruin within finite time
• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• Entropy, a useful concept in risk theory
• Probabilities of ruin
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)

Cited in

(8)

• Non-Poissonian claims' arrivals and calculation of the probability of ruin
• Second order corrections for the limits of normalized ruin times in the presence of heavy tails
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk
• Correction note to: ``A multidimensional ruin problem and an associated notion of duality
• On corrected phase-type approximations of the time value of ruin with heavy tails
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
• Level premium rates as a function of initial capital

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