Problèmes de ruine en théorie du risque à temps discret avec horizon fini

DOI10.1239/jap/1059060886zbMath1049.62113OpenAlexW2075634194MaRDI QIDQ4462687

Ibrahim Coulibaly, Philippe Picard, Claude Lefèvre

Publication date: 18 May 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1059060886

zbMATH Keywords

arithmetic distribution of lossesgeneralised Appell polynomialsnonuniform process of premiumsprobability and severity of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (15)

Finite-time ruin probabilities for discrete, possibly dependent, claim severities ⋮ Bi-seasonal discrete time risk model ⋮ Discrete compound Poisson process with curved boundaries: Polynomial structures and recur\,sions ⋮ Finite-time ruin probability in the inhomogeneous claim case ⋮ A new look at the homogeneous risk model ⋮ Probabilistic approach to Appell polynomials ⋮ Another look at the Picard--Lefèvre formula for finite-time ruin probabilities ⋮ First-crossing and ballot-type results for some nonstationary sequences ⋮ Survival probabilities in bivariate risk models, with application to reinsurance ⋮ A nonhomogeneous risk model for insurance ⋮ On finite-time ruin probabilities for classical risk models ⋮ Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin ⋮ Probabilité de ruine éventuelle dans un modèle de risque à temps discret ⋮ Reliability of a Discrete-Time System with Investment ⋮ Impact of Underwriting Cycles on the Solvency of an Insurance Company

Cites Work

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• Ruin probabilities in the compound binomial model
• Ruin probabilities for time-correlated claims in the compound binomial model.
• An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
• Multirisks model and finite-time ruin probabilities
• Discounted probabilities and ruin theory in the compound binomial model
• The probability of ruin in finite time with discrete claim size distribution
• Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
• First crossing of basic counting processes with lower non-linear boundaries: A unified approach through pseudopolynomials (I)
• Classical numerical ruin probabilities

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