Two-Sided Bounds for the Finite Time Probability of Ruin

DOI10.1080/034612300750066728zbMath0958.91030OpenAlexW2167888856MaRDI QIDQ2703235

Vladimir K. Kaishev, Zvetan G. Ignatov

Publication date: 1 March 2001

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/034612300750066728

zbMATH Keywords

\(B\)-splinesruin probabilityDirichlet distributionrisk reserve process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Spline approximation (41A15)

Related Items (27)

Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation ⋮ Error bounds in divided difference expansions. A probabilistic perspective ⋮ Finite-time ruin probabilities for discrete, possibly dependent, claim severities ⋮ The Finite Time Ruin Probability of a New Risk Model Based on Entrance Process ⋮ A finite-time ruin probability formula for continuous claim severities ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Polynomial structures in rank statistics distributions ⋮ An improved finite-time ruin probability formula and its \(Mathematica\) implementation. ⋮ Alarm system for insurance companies: a strategy for capital allocation ⋮ A new look at the homogeneous risk model ⋮ On the evaluation of finite-time ruin probabilities in a dependent risk model ⋮ Distributional study of finite-time ruin related problems for the classical risk model ⋮ Approximation by \(B\)-spline convolution operators. A probabilistic approach ⋮ First-crossing and ballot-type results for some nonstationary sequences ⋮ Survival probabilities in bivariate risk models, with application to reinsurance ⋮ A nonhomogeneous risk model for insurance ⋮ On finite-time ruin probabilities for classical risk models ⋮ On finite-time ruin probabilities in a generalized dual risk model with dependence ⋮ Ruin and deficit under claim arrivals with the order statistics property ⋮ Lundberg-type inequalities for non-homogeneous risk models ⋮ On the infinite-horizon probability of (non)ruin for integer-valued claims ⋮ On the first meeting or crossing of two independent trajectories for some counting processes. ⋮ Ruin problems for a discrete time risk model with non-homogeneous conditions ⋮ Optimal retention levels, given the joint survival of cedent and reinsurer ⋮ Finite time non-ruin probability for Erlang claim inter-arrivals and continuous inter-dependent claim amounts ⋮ Stochastic bounds for the Sparre Andersen process ⋮ Exponential bounds of ruin probabilities for non-homogeneous risk models

Cites Work

• Multivariate splines: a probabilistic perspective
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