Corrected normal approximation for the probability of ruin within finite time
DOI10.1080/03461238.1994.10413938zbMATH Open0845.62076OpenAlexW2092651007MaRDI QIDQ4322971FDOQ4322971
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
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Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- 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
- Approximations for the probability of ruin within finite time
- The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
- An asymptotic expression for the probability of ruin within finite time
- Probabilities of ruin
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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