Approximations for Finite Horizon Ruin Probabilities in the Renewal Model

DOI10.1080/03461239950132606MaRDI QIDQ4512136zbMATH OpenOpenAlexFDO

Authors Søren Asmussen, Bjarne Højgaard

Publication date 1 November 2000

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

Full work available at URL https://doi.org/10.1080/03461239950132606

zbMATH Keywords

finite horizonrisk theoryrenewal model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Renewal theory (60K05)

Recommendations

• Approximations for the probability of ruin within finite time
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Some approximations of ultimate ruin probability for finite initial surplus
• Saddlepoint approximations for the probability of ruin in finite time

Cites work

• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Approximations for the probability of ruin within finite time
• Aspects of risk theory
• Computational methods in risk theory: a matrix-algorithmic approach
• Corrected diffusion approximations in certain random walk problems
• Phase-type representations in random walk and queueing problems
• Saddlepoint approximations for the probability of ruin in finite time
• Sequential analysis. Tests and confidence intervals

Cited in

(10)

• Saddlepoint approximations for the probability of ruin in finite time
• scientific article; zbMATH DE number 6819921 (Why is no real title available?)
• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Corrected normal approximation for the probability of ruin within finite time
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• scientific article; zbMATH DE number 679625 (Why is no real title available?)
• Finite horizon ruin probabilities for random walks with heavy tailed increments
• Ruin probabilities in the discrete time renewal risk model
• Ruin probability of the renewal model with risky investment and large claims
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation

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