Sharp approximations of ruin probabilities in the discrete time models

DOI10.1080/03461238.2011.618761zbMath1291.91107OpenAlexW2011521230MaRDI QIDQ2868613

Lestaw Gajek, Marcin Rudź

Publication date: 17 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461238.2011.618761

zbMATH Keywords

approximationsSolvency IIruin probabilitiesdiscrete-time risk modelsrisk management based on internal modelsintegral operator generated by a risk processtheory of fixed points

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (7)

Deficit distributions at ruin in a regime-switching Sparre Andersen model ⋮ Banach contraction principle and ruin probabilities in regime-switching models ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ A generalization of Gerber's inequality for ruin probabilities in risk-switching models ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period

Cites Work

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• Ruin probabilities in the discrete time renewal risk model
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• On finite-time ruin probabilities for classical risk models
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist

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