Recursive calculation of time to ruin distributions.

DOI10.1016/S0167-6687(02)00102-6zbMath1074.91545OpenAlexW2097598422MaRDI QIDQ1413314

Rui M. R. Cardoso, Alfredo D. Egídio 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 chainTime to ruinBarrier problemsDiscrete time modelFinite timeProbability of ruinRecursive calculation

Mathematics Subject Classification ID

Related Items (7)

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

Cites Work

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

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