De Vylder type approximation of the ruin probability for the insurer-reinsurer model

DOI10.14708/MA.V47I1.6417MaRDI QIDQ5135656zbMATH OpenOpenAlexWikidataFDO

Authors Krzysztof Burnecki, Marek Teuerle, Aleksandra Wilkowska

Publication date 23 November 2020

Published in Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL https://doi.org/10.14708/ma.v47i1.6417

zbMATH Keywords

ruin probabilitytwo-dimensional risk processDe Vylder approximation.

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3390197 (Why is no real title available?)
• A two-dimensional ruin problem on the positive quadrant
• Aspects of risk theory
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Functional large deviations for multivariate regularly varying random walks
• Hitting probabilities and large deviations
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• Ruin probabilities
• Simple approximations of ruin probabilities
• What is the best approximation of ruin probability in infinite time?

Cited in

(7)

• Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
• Practical approaches to the estimation of the ruin probability in a risk model with additional funds
• On a remark of De Vylder
• scientific article; zbMATH DE number 1984194 (Why is no real title available?)
• Simple approximations of ruin probabilities
• Parisian ruin probability -- the De Vylder type approximation
• Ruin probabilities for two collaborating insurance companies

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