Approximate solutions of severity of ruins

DOI10.1007/BF02808403zbMath0860.62078OpenAlexW197269199MaRDI QIDQ4716011

Gerarda Tessitore, Emilia Di Lorenzo

Publication date: 19 November 1996

Published in: Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02808403

zbMATH Keywords

approximate solutionsseverity of ruincubic spline approximationprobability of ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

Analysis of a defective renewal equation arising in ruin theory ⋮ On the distribution of surplus immediately after ruin under interest force ⋮ Exact and approximate properties of the distribution of surplus before and after ruin ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Uses Software

• Mathematica

Cites Work

• Recursive calculation of finite-time ruin probabilities
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• A practical guide to splines
• Recursive calculation of the probability and severity of ruin
• On the numerical evaluation of the ultimate ruin probability
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