On a gamma series expansion for the time-dependent probability of collective ruin

DOI10.1016/S0167-6687(01)00080-4zbMath1025.62036OpenAlexW1975799645MaRDI QIDQ1413290

Jozef L. Teugels, Robert F. Tichy, Hansjoerg Albrecher

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(01)00080-4

zbMATH Keywords

ruin probabilityclassical risk modelfinite time intervalreal interest force

Mathematics Subject Classification ID

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

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Cites Work

• Classical risk theory in an economic environment
• Equation for survival probability in a finite time interval in case of non-zero real interest force
• The adjustment function in ruin estimates under interest force
• Ruin estimates under interest force
• Representation and explicit calculation of Finite-time ruin probabilities
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin I
• Exact and Asymptotic Solutions for the Time-Dependent Problem of Collective Ruin II
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