Rational ruin problems - a note for the teacher

DOI10.1016/0167-6687(91)90020-XMaRDI QIDQ756905zbMATH OpenFDO

Authors François Dufresne, H. U. Gerber

Publication date 1991

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

probability of ruinmixture of exponential distributionscombination of exponential distributionsuser friendly examples of ruin theory problems

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical tables (62Q05)

Recommendations

• A note on the solution of practical ruin problems
• Probability theory and modeling
• The probability of ruin
• Classical numerical ruin probabilities
• scientific article; zbMATH DE number 1122116

Cited in

(4)

• The Time Value of Ruin in a Sparre Andersen Model
• On two families of bivariate distributions with exponential marginals: aggregation and capital allocation
• Valuing equity-linked death benefits in jump diffusion models
• On moments based Padé approximations of ruin probabilities

This page was built for publication: Rational ruin problems - a note for the teacher

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q756905)