Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
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Publication:1707042
DOI10.1007/s11009-016-9515-6zbMath1408.91105OpenAlexW2519522480MaRDI QIDQ1707042
Publication date: 28 March 2018
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-016-9515-6
risk processclassical risk modelultimate ruin probabilitycontinuous empirical distributionErlang mixture distribution
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Related Items (6)
Ruin probability for finite Erlang mixture claims via recurrence sequences ⋮ Volterra integral equations: an approach based on Lipschitz-continuity ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ Approximations of the ruin probability in a discrete time risk model ⋮ Unnamed Item ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
Cites Work
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- What is the best approximation of ruin probability in infinite time?
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- On the Class of Erlang Mixtures with Risk Theoretic Applications
- Loss Models
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