Ruin probabilities in classical risk models with gamma claims
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Cites work
- A low traffic approximation for queues
- A ruin model with dependence between claim sizes and claim intervals
- A solution to the ruin problem for Pareto distributions.
- An algebraic operator approach to the analysis of Gerber-Shiu functions
- Aspects of risk theory
- Asymptotic results for a Markov-modulated risk process with stochastic investment
- Asymptotic results for renewal risk models with risky investments
- Cramér asymptotics for finite time first passage probabilities of general Lévy processes
- scientific article; zbMATH DE number 1303930 (Why is no real title available?)
- scientific article; zbMATH DE number 3438165 (Why is no real title available?)
- scientific article; zbMATH DE number 3444581 (Why is no real title available?)
- scientific article; zbMATH DE number 3206641 (Why is no real title available?)
- scientific article; zbMATH DE number 3081895 (Why is no real title available?)
- scientific article; zbMATH DE number 3108589 (Why is no real title available?)
- In the insurance business risky investments are dangerous
- Introductory lectures on fluctuations of Lévy processes with applications.
- Mittag-Leffler functions and complete monotonicity
- Old and new examples of scale functions for spectrally negative Lévy processes
- On the discounted penalty function in a Markov-dependent risk model
- On the tails of waiting-time distributions
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Power tailed ruin probabilities in the presence of risky investments.
- Risk models with stochastic premium and ruin probability estimation
- Risk processes perturbed by α-stable Lévy motion
- Ruin models with investment income
- Ruin probabilities
- Ruin probabilities and overshoots for general Lévy insurance risk processes
- Ruin probabilities in models with a Markov chain dependence structure
- Ruin probabilities with a Markov chain interest model
- Ruin theory with compounding assets -- a survey
- Some results of ruin probability for the classical risk process
- Spectrally negative Lévy processes with applications in risk theory
- Stable Lévy motion approximation in collective risk theory
Cited in
(21)- On the probability of ruin for infinitely divisible claim amount distributions
- On a gamma series expansion for the time-dependent probability of collective ruin
- Mixed fractional risk process
- Ruin probability for finite Erlang mixture claims via recurrence sequences
- An application of fractional differential equations to risk theory
- Volterra integral equations: an approach based on Lipschitz-continuity
- Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis
- Ruin probability with Gamma claim in classical risk model
- On the covergence of a solution method for a risk model with gamma-distributed claims
- Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes
- Evaluating ruin probabilities: a streamlined approach
- A ruin model with a resampled environment
- No-ruin probability of an insurance company by the Cramér-Lundberg model and gamma-distributed payments
- Functional sensitivity analysis of ruin probability in the classical risk models
- A scale function based approach for solving integral-differential equations in insurance risk models
- State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables
- Fractional models for analysis of economic risks
- A change of measures technique for compound mixed renewal processes with applications in risk theory
- A novel approximation method for computing the adjustment coefficient of a nonlinear Cramér-Lundberg risk model with gamma claims
- Numerical methods applied to ruin probability in an Erlang(2) risk process with Weibull loss distribution
- Risk models with premiums adjusted to claims number
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