Some approximations of ultimate ruin probability for finite initial surplus

DOI10.1007/BF02809699MaRDI QIDQ3750881zbMATH OpenFDO

Authors Erhard Kremer

Publication date 1987

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02809699

zbMATH Keywords

approximate formulasfixed finite initial surplusrenewal theoretical resultsultimate ruin probability

Mathematics Subject Classification ID

Renewal theory (60K05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Approximations for the probability of ruin within finite time
• An upper bound for the probability of ultimate ruin
• Tail bounds for the joint distribution of the surplus prior to and at ruin
• Approximation of the initial reserve for known ruin probabilities
• On the asymptotics of the ruin probability
• On approximations of the ruin probability for risk processes with random premium
• On finite-time ruin probabilities for general risk models
• On survival and ruin probabilities in a perturbed risk model
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time

Cites work

• An approximate solution of the integral equation of renewal theory
• Bounds for classical ruin probabilities
• scientific article; zbMATH DE number 3192464 (Why is no real title available?)

Cited in

(7)

• Approximation of the initial reserve for known ruin probabilities
• Exact and approximate properties of the distribution of surplus before and after ruin
• On the randomized Schmitter problem
• Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
• On the numerical evaluation of the ultimate ruin probability
• Approximations for Finite Horizon Ruin Probabilities in the Renewal Model
• Probabilities of ruin when the safety loading tends to zero

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