Taylor-series expansion for multivariate characteristics of classical risk processes

DOI10.1016/0167-6687(95)00013-5zbMath0855.62094OpenAlexW2090670746MaRDI QIDQ1921977

Andreas Frey, Volker Schmidt

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

zbMATH Keywords

derivativesTaylor seriesfinite timeseverity of ruinruin timesurplus prior to ruinmarked Poisson processesinfinite timecompound Poisson inputcontinuous-time risk modelinfinite-horizon joint probabilities

Mathematics Subject Classification ID

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

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

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