Recursive calculation of the probability and severity of ruin

DOI10.1016/0167-6687(89)90028-0MaRDI QIDQ1824337zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson

Publication date 1989

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

Full work available at URL https://doi.org/10.1016/0167-6687(89)90028-0

zbMATH Keywords

survival probabilityrecursive methodgamma distributionsexponential distributionsprobability of ruinseverity of ruincollective risk theoryclaim amount distribution

Mathematics Subject Classification ID

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

Recommendations

• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
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Cites work

• scientific article; zbMATH DE number 3197632 (Why is no real title available?)
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations

Cited in

(16)

• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• A solution to the ruin problem for Pareto distributions.
• Taylor-series expansion for multivariate characteristics of classical risk processes
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• The deficit at ruin in the stationary renewal risk model
• An improved recursive solution to the ruin probability in a classical discrete risk model. Its implementation and comparison
• Practical approximations for multivariate characteristics of risk processes
• The Probability of Ultimate Ruin with a Variable Premium Loading—a Special Case
• On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
• A note on the Taylor series expansions for multivariate characteristics of classical risk processes
• Symbolic calculation of the moments of the time of ruin.
• Stochastic successive approximation method for assessing the insolvency risk of an insurance company
• Recursive calculation of time to ruin distributions.
• On the severity of ruin in a Markov-modulated risk model
• On the distribution of the duration of negative surplus
• Approximate solutions of severity of ruins

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