On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues

DOI10.1016/j.cam.2015.05.021zbMath1319.91098OpenAlexW625561036MaRDI QIDQ492102

Anişoara Maria Răducan, Raluca Vernic, Gheorghe H. Zbăganu

Publication date: 19 August 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.05.021

zbMATH Keywords

ruin probabilityErlang distributionrecursive methodssurplus processnonhomogeneous claim sizes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Lundberg-type inequalities for non-homogeneous risk models ⋮ Ruin probability for the bi-seasonal discrete time risk model with dependent claims ⋮ Unnamed Item

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