Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy

DOI10.15559/20-VMSTA157zbMath1461.91257OpenAlexW3047343182MaRDI QIDQ2218140

Olena Ragulina

Publication date: 14 January 2021

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

Full work available at URL: https://doi.org/10.15559/20-vmsta157

zbMATH Keywords

Monte Carlo methodruin probabilitynet profit conditionde Vylder approximationrisk model with stochastic premiumsconstant dividend strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Practical approaches to the estimation of the ruin probability in a risk model with additional funds
• Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• Methods for estimating the optimal dividend barrier and the probability of ruin
• The compound Poisson risk model with multiple thresholds
• Aspects of risk theory
• Simple approximations of ruin probabilities
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• On the threshold dividend strategy for a generalized jump-diffusion risk model
• Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails
• Ruin probability for the bi-seasonal discrete time risk model with dependent claims
• The risk model with stochastic premiums and a multi-layer dividend strategy
• De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
• On the compound Poisson risk model with dependence and a threshold dividend strategy
• Analytic properties of infinite-horizon survival probability in a risk model with additional funds
• Dividends with tax and capital injection in a spectrally negative Lévy risk model
• Recursive Calculation of the Dividend Moments in a Multi-threshold Risk Model
• De Vylder type approximation of the ruin probability for the insurer-reinsurer model
• Probability Inequalities for Sums of Bounded Random Variables
• On the Time Value of Ruin

This page was built for publication: Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy