Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
DOI10.1016/J.INSMATHECO.2004.07.001zbMATH Open1103.91048OpenAlexW2077271045MaRDI QIDQ704403FDOQ704403
Authors: Didier Rullière, Stéphane Loisel 
Publication date: 13 January 2005
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.001
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classical risk modelAppell polynomialsfinite-time ruin probabilitiesdiscrete claim-size distributionspseudo-compound distributions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)
Cites Work
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- Problèmes de ruine en théorie du risque à temps discret avec horizon fini
- Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
- The moments of ruin time in the classical risk model with discrete claim size distribution
- A Generalization of the Ballot Problem and its Application in the Theory of Queues
- Multirisks model and finite-time ruin probabilities
- An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
- The Time Dependence of a Single-Server Queue with Poisson Input and General Service Times
Cited In (26)
- A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
- Optimal reinsurance via Dirac-Feynman approach
- Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
- Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
- Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
- Ruin probability via quantum mechanics approach
- Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
- Duality in ruin problems for ordered risk models
- Computing finite-time survival probabilities using multinomial approximations of risk models
- Bi-seasonal discrete time risk model
- Finite-time ruin probabilities using bivariate Laguerre series
- The win-first probability under interest force
- A link between wave governed random motions and ruin processes
- Fourier-cosine method for finite-time Gerber-Shiu functions
- Finite-time ruin probabilities for discrete, possibly dependent, claim severities
- On finite-time ruin probabilities for general risk models
- A survey of some recent results on risk theory
- Notes on discrete compound Poisson model with applications to risk theory
- On finite-time ruin probabilities for classical risk models
- Sensitivity analysis and density estimation for finite-time ruin probabilities
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
- The expected discounted penalty function: from infinite time to finite time
- Distributional study of finite-time ruin related problems for the classical risk model
- Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
- More for less insurance model: an alternative to (re)insurance
- An improved finite-time ruin probability formula and its \(Mathematica\) implementation.
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