A note on the Taylor series expansions for multivariate characteristics of classical risk processes

DOI10.1016/S0167-6687(99)00011-6zbMath1028.91560MaRDI QIDQ1962815

Miguel A. Usábel

Publication date: 27 January 2004

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

zbMATH Keywords

series expansionseverity of ruinsurplus prior to ruinrecursive methodsfinite time ruin probability

Mathematics Subject Classification ID

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

Related Items

Applications to risk theory of a Monte Carlo multiple integration method.

Cites Work

• Unnamed Item
• On the distribution of the claim causing ruin
• 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
• Applications to risk theory of a Monte Carlo multiple integration method.
• Recursive calculation of the probability and severity of ruin
• Taylor-series expansion for multivariate characteristics of classical risk processes