De Vylder type approximation of the ruin probability for the insurer-reinsurer model

DOI10.14708/MA.V47I1.6417zbMath1463.91107OpenAlexW4245648854WikidataQ127459723 ScholiaQ127459723MaRDI QIDQ5135656

Aleksandra Wilkowska, Marek Teuerle, Krzysztof Burnecki

Publication date: 23 November 2020

Published in: Mathematica Applicanda (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14708/ma.v47i1.6417

zbMATH Keywords

ruin probabilitytwo-dimensional risk processDe Vylder approximation.

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (3)

Parisian ruin probability - the De Vylder type approximation ⋮ Ruin probabilities for two collaborating insurance companies ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy

Cites Work

• Hitting probabilities and large deviations
• A two-dimensional ruin problem on the positive quadrant
• Aspects of risk theory
• Simple approximations of ruin probabilities
• Functional large deviations for multivariate regularly varying random walks
• Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
• Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed
• What is the best approximation of ruin probability in infinite time?
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