Probabilities of ruin
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Publication:3667817
DOI10.1080/03461238.1982.10405105zbMath0518.62084OpenAlexW1971001192MaRDI QIDQ3667817
Publication date: 1982
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1982.10405105
Wiener-Hopf techniqueruin probabilitystationary renewal processcollective risk theoryAndersen modelordinary renewal process
Applications of statistics to actuarial sciences and financial mathematics (62P05) Integral equations of the convolution type (Abel, Picard, Toeplitz and Wiener-Hopf type) (45E10) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)
Related Items (7)
Calculation of the probability of eventual ruin by Beekman's convolution series ⋮ The equivalence of the infinite time ruin problems for positive and negative risk models ⋮ Corrected normal approximation for the probability of ruin within finite time ⋮ Cramér-Lundberg approximation for nonlinearly perturbed risk processes ⋮ A tale of two (and more) altruists ⋮ On a Class of Renewal Risk Processes ⋮ Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times
Cites Work
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- Probability of ruin with variable premium rate
- Stationarity aspects of the sparre andersen risk process and the corresponding ruin probabilitles
- Asymptotic ruin probabilities when exponential moments do not exist
- How to calculate ruin probabilities according to the classical risk theory
- Stationarity and the start of a renewal process
- Ruin probabilities prepared for numerical calculation
- Martingales and ruin in a dynamical risk process
- On the asymptotic behavior of the ruin probability for an infinite period when the epochs of claims form a renewal process
- What is the Laplace Transform?
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