Approximations for Finite Horizon Ruin Probabilities in the Renewal Model

DOI10.1080/03461239950132606zbMATH Open0952.91039OpenAlexW1970472647MaRDI QIDQ4512136FDOQ4512136

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

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

zbMATH Keywords

finite horizonrisk theoryrenewal model

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Sequential analysis. Tests and confidence intervals
• Computational methods in risk theory: a matrix-algorithmic approach
• Saddlepoint approximations for the probability of ruin in finite time
• Aspects of risk theory
• Phase-type representations in random walk and queueing problems
• Approximations for the probability of ruin within finite time
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Corrected diffusion approximations in certain random walk problems

Cited In (10)

• Saddlepoint approximations for the probability of ruin in finite time
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• 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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