An insensitivity property of the ruin probability

DOI10.1080/03461238.1985.10413787zbMath0618.62093OpenAlexW1987993629MaRDI QIDQ4728071

Jan Grandell, Thomas Björk

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1080/03461238.1985.10413787

zbMATH Keywords

risk theoryprobability of ruinstationary point processinvariance propertyclassical ruin probability problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Cites Work

• Stationarity aspects of the sparre andersen risk process and the corresponding ruin probabilitles
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