Recursive calculation of finite time ruin probabilities under interest force.

DOI10.1016/j.insmatheco.2003.09.008zbMath1103.60314OpenAlexW2060249914MaRDI QIDQ1423349

Howard R. Waters, Rui M. R. Cardoso

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.2003.09.008

zbMATH Keywords

Numerical algorithmsInterest rateRuin probability

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (8)

Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments ⋮ Computing survival probabilities based on stochastic differential models ⋮ Markov chain approximations to scale functions of Lévy processes ⋮ A nonhomogeneous risk model for insurance ⋮ On finite-time ruin probabilities for classical risk models ⋮ Calculation of finite time ruin probabilities for some risk models ⋮ On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest

Cites Work

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• Ruin estimates under interest force
• Ruin probabilities with compounding assets
• Approximations to ruin probability in the presence of an upper absorbing barrier
• Approximating the finite-time ruin probability under interest force

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