Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

DOI10.1080/03461238.2021.1885483zbMATH Open1479.91315OpenAlexW3132139731MaRDI QIDQ5014499FDOQ5014499

Authors: Eric C. K. Cheung, Zhimin Zhang 

Publication date: 8 December 2021

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

Full work available at URL: https://doi.org/10.1080/03461238.2021.1885483

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zbMATH Keywords

approximationruin probabilityrenewal risk modelLaguerre polynomialcredit interest

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Fourier-cosine method for Gerber-Shiu functions
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Cited In (9)

• Solving the finite-time ruin problems by Laguerre series expansion
• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• Finite-time ruin probabilities using bivariate Laguerre series
• On dividends and Gerber-Shiu analysis with constant interest and a periodic-threshold mixed strategy
• Infinite series expansion of some finite-time dividend and ruin related functions
• A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
• High order expansions for renewal functions and applications to ruin theory
• Inequalities on the ruin probability for light-tailed distributions with some restrictions
• The Gerber-Shiu discounted penalty function: a review from practical perspectives

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