Finite-time ruin probabilities for discrete, possibly dependent, claim severities

DOI10.1007/S11009-009-9123-9zbMATH Open1170.91414OpenAlexW2043763469MaRDI QIDQ835688FDOQ835688

Authors: Stéphane Loisel, Claude Lefèvre 

Publication date: 31 August 2009

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9123-9

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Mathematics Subject Classification ID

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

Cites Work

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• 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

Cited In (29)

• On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
• Ruin and deficit under claim arrivals with the order statistics property
• Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
• Ruin probabilities for risk models with ordered claim arrivals
• Title not available (Why is that?)
• Problèmes de ruine en théorie du risque à temps discret avec horizon fini
• Survival probabilities in bivariate risk models, with application to reinsurance
• 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 non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts
• Ruin probability for the bi-seasonal discrete time risk model with dependent claims
• On the infinite-horizon probability of (non)ruin for integer-valued claims
• Computing survival probabilities based on stochastic differential models
• Ruin probabilities for time-correlated claims in the compound binomial model.
• A finite-time ruin probability formula for continuous claim severities
• Fraud risk assessment within blockchain transactions
• Boundary crossing of order statistics point processes
• A new look at the homogeneous risk model
• A survey of some recent results on risk theory
• Multirisks model and finite-time ruin probabilities
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• On finite-time ruin probabilities with reinsurance cycles influenced by large claims
• On the evaluation of finite-time ruin probabilities in a dependent risk model
• Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
• Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
• Title not available (Why is that?)
• More for less insurance model: an alternative to (re)insurance

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