Practical approaches to the estimation of the ruin probability in a risk model with additional funds

DOI10.15559/15-VMSTA18zbMath1349.91151arXiv1503.05383OpenAlexW3106531081MaRDI QIDQ341092

Oleksandr Stroyev, Olena Ragulina, Yuliya S. Mishura

Publication date: 16 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05383

zbMATH Keywords

Monte Carlo methodsurvival probabilityexponential boundrisk modelDe Vylder approximation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ The risk model with stochastic premiums and a multi-layer dividend strategy

Cites Work

• Aspects of risk theory
• Simple approximations of ruin probabilities
• Probability Inequalities for Sums of Bounded Random Variables
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