Ruin probabilities with compounding assets
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Publication:1962816
DOI10.1016/S0167-6687(99)00017-7zbMath1028.91555OpenAlexW2029576837WikidataQ127248916 ScholiaQ127248916MaRDI QIDQ1962816
David C. M. Dickson, Howard R. Waters
Publication date: 31 January 2000
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00017-7
Related Items (12)
Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. ⋮ Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure. ⋮ Recursive calculation of finite time ruin probabilities under interest force. ⋮ Computing survival probabilities based on stochastic differential models ⋮ A nonhomogeneous risk model for insurance ⋮ Approximating the finite-time ruin probability under interest force ⋮ Ruin distributions and their equations ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ Ruin theory with compounding assets -- a survey
Cites Work
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- Classical risk theory in an economic environment
- Recursive calculation of finite-time ruin probabilities
- Ruin theory with compounding assets -- a survey
- On some measures of the severity of ruin in the classical Poisson model
- Ruin estimates under interest force
- Ruin estimation for a general insurance risk model
- Classical numerical ruin probabilities
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