Approximations of the ruin probability in a discrete time risk model

DOI10.15559/20-VMSTA158zbMath1457.91142arXiv2006.01391MaRDI QIDQ2218139

David J. Santana, L. A. Rincon

Publication date: 14 January 2021

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.01391

zbMATH Keywords

risk processruin probability

Mathematics Subject Classification ID

Risk models (general) (91B05)

Related Items (3)

Ruin probability for finite negative binomial mixture claims via recurrence sequences ⋮ On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance ⋮ Note on the bi-risk discrete time risk model with income rate two

Cites Work

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• A note on the net profit condition for discrete and classical risk models
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• Mixed Poisson Distributions
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• Poisson mixtures and quasi-infinite divisibility of distributions
• Note on the approximation of distributions on Z₊by mixtures of negative binomial distributions
• On the Class of Erlang Mixtures with Risk Theoretic Applications
• A review of discrete-time risk models

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