Corrected normal approximation for the probability of ruin within finite time

DOI10.1080/03461238.1994.10413938zbMath0845.62076OpenAlexW2092651007MaRDI QIDQ4322971

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

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• An asymptotic expression for the probability of ruin within finite time
• Probabilities of ruin
• Approximations for the probability of ruin within finite time
• Entropy, a useful concept in risk theory
• Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)