On finite-time ruin probabilities with reinsurance cycles influenced by large claims

DOI10.1080/03461238.2011.589145zbMath1292.91089OpenAlexW3122252192MaRDI QIDQ2868604

Mathieu Bargès, Stéphane Loisel, Xavier Venel

Publication date: 17 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461238.2011.589145

zbMATH Keywords

finite-time ruin probabilityphase-type distributionsErlangizationreinsurance cycleSparre Anderson model

Mathematics Subject Classification ID

Related Items (3)

EFFICIENT ESTIMATION OF ERLANG MIXTURES USING iSCAD PENALTY WITH INSURANCE APPLICATION ⋮ Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations ⋮ Joint densities of hitting times for finite state Markov processes

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