On the Probability of (Non-) Ruin in Infinite Time

DOI10.1080/03461230152592782zbMath0979.91046OpenAlexW2136654864MaRDI QIDQ2759551

Philippe Picard, Claude Lefèvre

Publication date: 12 December 2001

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

Full work available at URL: https://doi.org/10.1080/03461230152592782

zbMATH Keywords

compound Poisson processgeneralized Appell polynomialsinteger-valued claimsnonlinear premium process

Mathematics Subject Classification ID

Special processes (60K99) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Approximation by \(B\)-spline convolution operators. A probabilistic approach, On the infinite-horizon probability of (non)ruin for integer-valued claims

Cites Work

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• Mathematical fun with ruin theory
• Ruin probability by operational calculus
• The moments of ruin time in the classical risk model with discrete claim size distribution