Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure.
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Publication:1423348
DOI10.1016/j.insmatheco.2003.09.010zbMath1103.91379OpenAlexW2162861715MaRDI QIDQ1423348
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.09.010
Related Items (10)
RECURSIVE CALCULATION OF RUIN PROBABILITIES AT OR BEFORE CLAIM INSTANTS FOR NON-IDENTICALLY DISTRIBUTED CLAIMS ⋮ On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims ⋮ Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory ⋮ Finite-time ruin probability in the inhomogeneous claim case ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ Verification of discrete time stochastic hybrid systems: a stochastic reach-avoid decision problem ⋮ On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues ⋮ A nonhomogeneous risk model for insurance ⋮ A survey of personalized treatment models for pricing strategies in insurance ⋮ Ruin problems for a discrete time risk model with non-homogeneous conditions
Cites Work
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- Recursive calculation of finite-time ruin probabilities
- The Fourier-series method for inverting transforms of probability distributions
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- A stochastic production/inventory system with all-or-nothing demand and service measures
- Classical numerical ruin probabilities
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