Finite-time ruin probability in the inhomogeneous claim case

DOI10.1007/S10986-010-9084-2zbMATH Open1203.91111OpenAlexW2048646038MaRDI QIDQ619331FDOQ619331

Jonas Šiaulys, K. Blaževičius, Eugenija Bieliauskienė

Publication date: 24 January 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-010-9084-2

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zbMATH Keywords

finite-time ruin probabilitydiscrete-time risk modelinhomogeneous claims

Mathematics Subject Classification ID

Cites Work

• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• On finite-time ruin probabilities for classical risk models
• Title not available (Why is that?)
• Recursive calculation of finite-time ruin probabilities
• Calculation of the probability of eventual ruin by Beekman's convolution series
• A nonhomogeneous risk model for insurance
• Title not available (Why is that?)
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Probabilité de ruine éventuelle dans un modèle de risque à temps discret
• Multirisks model and finite-time ruin probabilities
• Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.

Cited In (23)

• Note on the bi-risk discrete time risk model with income rate two
• Probabilité de ruine éventuelle dans un modèle de risque à temps discret
• Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory
• Gerber–Shiu function for the discrete inhomogeneous claim case
• Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
• Lundberg-type inequalities for non-homogeneous risk models
• Bi-seasonal discrete time risk model
• Ruin probability for the bi-seasonal discrete time risk model with dependent claims
• Ruin probabilities based at claim instants for some non-Poisson claim processes
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Finite-time ruin probabilities for discrete, possibly dependent, claim severities
• Multiseasonal discrete-time risk model revisited
• Recursive calculation of finite-time ruin probabilities
• RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS
• Ruin Problems with Worsening Risks or with Infinite Mean Claims
• A finite-time ruin probability formula for continuous claim severities
• On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims
• A Lundberg-type inequality for an inhomogeneous renewal risk model
• Ruin probability in the three-seasonal discrete-time risk model
• On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
• Reliability of a Discrete-Time System with Investment
• Bi-seasonal discrete time risk model with income rate two
• Homogeneous risk models with equalized claim amounts

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