Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
From MaRDI portal
Publication:5014499
DOI10.1080/03461238.2021.1885483zbMath1479.91315OpenAlexW3132139731MaRDI QIDQ5014499
Eric C. K. Cheung, Zhimin Zhang
Publication date: 8 December 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2021.1885483
Related Items (5)
Finite-time ruin probabilities using bivariate Laguerre series ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ Infinite series expansion of some finite-time dividend and ruin related functions ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
Cites Work
- Unnamed Item
- Unnamed Item
- Asymptotic results for renewal risk models with risky investments
- Surplus analysis of Sparre Andersen insurance risk processes
- The ruin probability of the renewal model with constant interest force and negatively dependent heavy-tailed claims
- A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
- Ruin models with investment income
- On the discounted penalty function in the renewal risk model with general interclaim times
- Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities
- On the expected discounted penalty function at ruin of a surplus process with interest.
- Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
- Ruin under interest force and subexponential claims: a simple treatment.
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
- Ruin estimates under interest force
- A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium
- On a risk model with surplus-dependent premium and tax rates
- Adaptive Laguerre density estimation for mixed Poisson models
- Fourier-cosine method for Gerber-Shiu functions
- The compound Poisson risk model with a threshold dividend strategy
- Fourier-cosine method for ruin probabilities
- Nonparametric estimation in a multiplicative censoring model with symmetric noise
- On the time value of absolute ruin with debit interest
- What is a Sobolev space for the Laguerre function systems?
- Ruin theory with stochastic return on investments
- Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
- A new efficient method for estimating the Gerber–Shiu function in the classical risk model
- Statistical Inference for Renewal Processes
- On Optimal Dividend Strategies In The Compound Poisson Model
- On the Gerber-Shiu Discounted Penalty Function for the Ordinary Renewal Risk Model with Constant Interest
- Fitting combinations of exponentials to probability distributions
- Asymptotic ruin probabilities of the renewal model with constant interest force and regular variation
- Non-exponential bounds for stop-loss premiums and ruin probabilities
- The Time Value of Ruin in a Sparre Andersen Model
- On the Time Value of Ruin
This page was built for publication: Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
