Computing ruin probability in the classical risk model

DOI10.1134/S0005117909120170zbMATH Open1182.91096OpenAlexW2112425964MaRDI QIDQ845482FDOQ845482

G. Sh. Tsitsiashvili

Publication date: 29 January 2010

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117909120170

zbMATH Keywords

insurancediscrete risk modelPoisson incoming flow

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
• Ruin problems with assets and liabilities of diffusion type
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• Title not available (Why is that?)
• Title not available (Why is that?)
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Tails of waiting times and their bounds
• On a gamma series expansion for the time-dependent probability of collective ruin

Cited In (4)

• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• Title not available (Why is that?)
• Functional sensitivity analysis of ruin probability in the classical risk models
• Title not available (Why is that?)

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