RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS

DOI10.1017/asb.2014.30zbMath1390.91207OpenAlexW3121185858MaRDI QIDQ4563744

Anişoara Maria Răducan, Raluca Vernic, Gheorghe H. Zbăganu

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2014.30

zbMATH Keywords

ruin probabilityrenewal processErlang distributioncontinuous time risk processmixture of exponentials distributionnon-homogeneous claim sizes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk, A Lundberg-type inequality for an inhomogeneous renewal risk model, On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims, Moment and polynomial bounds for ruin-related quantities in risk theory, Bi-seasonal discrete time risk model with income rate two, On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues, Capital allocation for Sarmanov's class of distributions, Lundberg-type inequalities for non-homogeneous risk models, Ruin probability for the bi-seasonal discrete time risk model with dependent claims, Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Finite-time ruin probability in the inhomogeneous claim case
• On ruin for the Erlang \((n)\) risk process
• Ruin models with investment income
• Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
• Ruin probabilities based at claim instants for some non-Poisson claim processes
• Multivariate risk model of phase type
• A nonhomogeneous risk model for insurance
• Ruin Problems for Phase-Type(2) Risk Processes
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• Fitting combinations of exponentials to probability distributions
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models