Ruin probability by operational calculus

DOI10.1016/0167-6687(89)90060-7zbMath0687.62089OpenAlexW2040753332MaRDI QIDQ1263214

Elias S. W. Shiu

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)90060-7

zbMATH Keywords

collective risk modeloperational calculusultimate ruin probabilityLagrange seriesinfinite-time ruin probabilityPoisson claim-number processprobability of eventual ruin

Mathematics Subject Classification ID

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

Related Items

Bi-seasonal discrete time risk model with income rate two, On the Probability of (Non-) Ruin in Infinite Time, Approximation by \(B\)-spline convolution operators. A probabilistic approach, On the infinite-horizon probability of (non)ruin for integer-valued claims, When does the surplus reach a given target?

Cites Work

• Operational calculus. A theory of hyperfunctions. Transl. from the Japanese
• A simple technique in Markovian control with applications to resource allocation to resource allocation in communication networks
• Mathematical fun with ruin theory
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
• The umbral calculus
• Steffensen's poweroids
• A Combinatorial Method in the Theory of Queues
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