Ruin probabilities in the discrete time renewal risk model
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Publication:2492176
DOI10.1016/j.insmatheco.2005.09.005zbMath1090.60076OpenAlexW2022439527MaRDI QIDQ2492176
David Landriault, Étienne Marceau, Hélène Cossette
Publication date: 9 June 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.09.005
Related Items (9)
\(\mathrm{G}/\mathrm{M}/1\) type structure of a risk model with general claim sizes in a Markovian environment ⋮ Discrete time ruin probability with Parisian delay ⋮ Ruin analysis of a threshold strategy in a discrete-time Sparre Andersen model ⋮ A threshold-based risk process with a waiting period to pay dividends ⋮ On a discrete-time risk model with time-dependent claims and impulsive dividend payments ⋮ An Approximation Model of the Collective Risk Model with INAR(1) Claim Process ⋮ On the discrete-time compound renewal risk model with dependence ⋮ Ruin probability of the renewal model with risky investment and large claims ⋮ Sharp approximations of ruin probabilities in the discrete time models
Cites Work
- The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
- Compound binomial risk model in a Markovian environment
- Limiting tail behaviour of some discrete compound distributions
- On a class of discrete time renewal risk models
- Moment Inequalities for Discrete Ageing Families
- On the Distribution of the Deficit at Ruin when Claims are Phase-type
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