Representation and explicit calculation of Finite-time ruin probabilities

DOI10.1080/03461238.1978.10414315zbMath0373.60109OpenAlexW2045456662MaRDI QIDQ4150977

Gregory Clive Taylor

Publication date: 1978

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

Full work available at URL: https://doi.org/10.1080/03461238.1978.10414315

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (7)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model ⋮ On a gamma series expansion for the time-dependent probability of collective ruin ⋮ Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald ⋮ Einige Anmerkungen zur Rückversicherung von Kumulrisiken nach dem “Verfahren Strickler” ⋮ Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions ⋮ Ruin probabilities based at claim instants for some non-Poisson claim processes

Cites Work

• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
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