Taylor-series expansion for multivariate characteristics of classical risk processes
From MaRDI portal
Publication:1921977
DOI10.1016/0167-6687(95)00013-5zbMath0855.62094OpenAlexW2090670746MaRDI QIDQ1921977
Publication date: 2 February 1997
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(95)00013-5
derivativesTaylor seriesfinite timeseverity of ruinruin timesurplus prior to ruinmarked Poisson processesinfinite timecompound Poisson inputcontinuous-time risk modelinfinite-horizon joint probabilities
Related Items
A note on expansion for functionals of spatial marked point processes ⋮ A note on the Taylor series expansions for multivariate characteristics of classical risk processes ⋮ Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique ⋮ Practical approximations for multivariate characteristics of risk processes ⋮ Expansion formulae for characteristics of cumulative cost in finite horizon production models
Cites Work
- Unnamed Item
- Unnamed Item
- On the distribution of the claim causing ruin
- A numerical approach to cyclic-service queueing models
- Recursive calculation of finite-time ruin probabilities
- The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
- The surpluses immediately before and at ruin, and the amount of the claim causing ruin
- On the distribution of the surplus prior to ruin
- On ladder height distributions of general risk processes
- Rate conservation laws: A survey
- Recursive calculation of the probability and severity of ruin
- Factorial moment espansion for stochastic systems
- Ladder height distributions with marks
- Approximations for the probability of ruin within finite time
- Light Traffic Limits of Sojourn Time Distributions in Markovian Queueing Networks
- Power Series for Stationary Distributions of Coupled Processor Models
- Open Queueing Systems in Light Traffic
- The power-series algorithm applied to cyclic polling systems
- Analyticity of Poisson-driven stochastic systems
- Calculating light traffic limits for sojourn times in open markovian queueing systems
- A class of approximations of ruin probabilities
- Light-Traffic Analysis for Queues with Spatially Distributed Arrivals
- Diffusion approximations in collective risk theory
