Ruin probabilities based at claim instants for some non-Poisson claim processes

DOI10.1016/S0167-6687(99)00047-5zbMath1013.91068MaRDI QIDQ1584520

David A. Stanford, Krzysztof J. Stroiński, Karen Lee

Publication date: 6 July 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

ruin probabilityrecursive methodsnon-Poisson claim processesnon-Poisson risk processes

Mathematics Subject Classification ID

Related Items (10)

On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model ⋮ 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 ⋮ Some ruin problems for the MAP risk model ⋮ Recursive methods for a multi-dimensional risk process with common shocks ⋮ How many claims does it take to get ruined and recovered? ⋮ Finite time ruin probabilities with one Laplace inversion. ⋮ Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions ⋮ On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues ⋮ Erlangian approximation to finite time ruin probabilities in perturbed risk models

Cites Work

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• Computational methods in risk theory: a matrix-algorithmic approach
• Phase-type representations in random walk and queueing problems
• Representation and explicit calculation of Finite-time ruin probabilities

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