An insensitivity property of the ruin probability

DOI10.1080/03461238.1985.10413787zbMATH Open0618.62093OpenAlexW1987993629MaRDI QIDQ4728071FDOQ4728071

Authors: Jan Grandell, Tomas 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

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zbMATH Keywords

risk theoryprobability of ruinstationary point processinvariance propertyclassical ruin probability problem

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stationarity aspects of the sparre andersen risk process and the corresponding ruin probabilitles
• Title not available (Why is that?)

Cited In (8)

• The ascending ladder height distribution for a certain class of dependent random walks
• Title not available (Why is that?)
• Estimation of a regression function on a point process and its application to financial ruin risk forecast
• A wide class of heavy-tailed distributions and its applications
• Ruin probability with certain stationary stable claims generated by conservative flows
• An insensitivity property of ladder height distributions
• In memoriam: Tomas Björk (1947--2021). On his career and beyond
• Ladder height distributions with marks

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