A series for infinite time ruin probabilities

DOI10.1016/0167-6687(85)90007-1zbMath0567.62087OpenAlexW1968404021WikidataQ127646249 ScholiaQ127646249MaRDI QIDQ1059971

John A. Beekman

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0167-6687(85)90007-1

zbMATH Keywords

infinite seriesinverse Gaussian distributionmaximum likelihood estimatorsclaim densitieserror approximationinfinite time ruin probabilitiesPoisson model for numbers of claims

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

A collective risk comparative study ⋮ An improvement to the convolution method of calculating \(\psi\) (u) ⋮ Calculation of the probability of eventual ruin by Beekman's convolution series ⋮ On a double barrier hybrid dividend strategy in a compound Poisson risk model with stochastic income ⋮ Further use of Shiu's approach to the evaluation of ultimate ruin probabilities ⋮ “Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends,” Hans U. Gerber and Elias S. W. Shiu, July 2003 ⋮ On the numerical evaluation of the ultimate ruin probability

Cites Work

• Statistical Properties of Inverse Gaussian Distributions. I
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