Explicit analytic ruin probabilities for bounded claims

DOI10.1016/0167-6687(94)00037-FzbMath0841.62094OpenAlexW1994261817MaRDI QIDQ1902628

Étienne Marceau, F. Etienne De Vylder

Publication date: 18 July 1996

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

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00037-f

zbMATH Keywords

convolutiontrigonometric functionspolynomialsexponential functionsfunction of bounded variationrenewal equationclassical risk modelclaim size distributionsexplicit analytic ruin probabilitiesunbounded claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Calculation of the probability of eventual ruin by Beekman's convolution series
• A class of very regular distribution functions and corresponding ruin probabilities

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