Direct Derivation of Finite-Time Ruin Probabilities in the Discrete Risk Model with Exponential or Geometric Claims
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Publication:5018750
DOI10.1080/10920277.2006.10597426zbMath1480.91191OpenAlexW2077094644MaRDI QIDQ5018750
Publication date: 22 December 2021
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2006.10597426
Related Items (6)
Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier ⋮ Local limit theorems for collective risk models ⋮ Discrete-time insurance model with capital injections and reinsurance ⋮ Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions ⋮ Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period ⋮ An approximation of minimum initial capital of investment discrete time surplus process with Weibull distribution in a reinsurance company
Cites Work
- The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
- Recursive calculation of finite-time ruin probabilities
- On the Density and Moments of the Time of Ruin with Exponential Claims
- The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
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