Recursive calculation of time to ruin distributions.

DOI10.1016/S0167-6687(02)00102-6MaRDI QIDQ1413314zbMATH OpenOpenAlexFDO

Authors Rui M. R. Cardoso, A. D. E. dos Reis

Publication date 16 November 2003

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

Full work available at URL https://doi.org/10.1016/s0167-6687(02)00102-6

zbMATH Keywords

Markov chainBarrier problemsDiscrete time modelFinite timeProbability of ruinRecursive calculationTime to ruin

Mathematics Subject Classification ID

Recommendations

• Recursive calculation of finite time ruin probabilities under interest force.
• Recursive calculation of finite-time ruin probabilities
• Recursive calculation of the probability and severity of ruin
• Recursive calculation on a class of compound distribution
• Calculation of finite time ruin probabilities for some risk models
• Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
• Discounted duration calculus
• The Distribution of the time to Ruin in the Classical Risk Model
• Ruin distributions and their equations

Cites work

• Approximations to ruin probability in the presence of an upper absorbing barrier
• Recursive calculation of finite-time ruin probabilities

Cited in

(7)

• Ruin probability via quantum mechanics approach
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• How many claims does it take to get ruined and recovered?
• Computing survival probabilities based on stochastic differential models
• Recursive calculation of finite time ruin probabilities under interest force.
• Approximation for ruin probability in the Sparre Andersen model with interest

This page was built for publication: Recursive calculation of time to ruin distributions.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1413314)