scientific article; zbMATH DE number 1166246

zbMATH Open0901.62128MaRDI QIDQ4396544FDOQ4396544

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Publication date: 2 December 1998

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zbMATH Keywords

ruin probabilityheavy-tailed distributiongeometric sumruin estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Sums of independent random variables; random walks (60G50)

Cited In (17)

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• A mathematical model of insurer bankruptcy on a finite time interval
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• On Cramér's first contributions to ruin theory
• Comparison of ruin probability estimates in the presence of heavy tails
• On the probability of ruin of a joint-stock insurance company in the sparre Andersen risk model
• Generalization of Lundberg's inequality for the case of stock insurance company
• A survey of some recent results on risk theory
• Convergence of insurance payout stochastic processes to generalized Poisson process
• Ruin probability in models with stochastic premiums
• Some extensions of the classical ruin model in risk theory
• Estimates for the probability of ruin starting with a large initial reserve
• Ruin probabilities in models of resource management and insurance: a synthesis
• Ruin probability for a risk model

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