Explicit Solutions for Survival Probabilities in the Classical Risk Model

DOI10.2143/AST.35.1.583168zbMath1101.62100OpenAlexW4230127214MaRDI QIDQ5490581

Jorge Garcia

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.35.1.583168

zbMATH Keywords

Laplace transformruin probabilitieshomogeneous Poisson process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes (60J99)

Related Items (12)

Risk diversifying treaty between two companies with only one in insurance business ⋮ On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model ⋮ A note on some joint distribution functions involving the time of ruin ⋮ APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION ⋮ Nonparametric estimation of the finite time ruin probability in the classical risk model ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ The two-barrier escape problem for compound renewal processes with two-sided jumps ⋮ Finite time ruin problems for the Erlang\((2)\) risk model ⋮ Approximations in the problem of level crossing by a compound renewal process ⋮ On the evaluation of finite-time ruin probabilities in a dependent risk model ⋮ On the Gerber-Shiu discounted penalty function for subexponential claims ⋮ On the Class of Erlang Mixtures with Risk Theoretic Applications

Cites Work

• Fourier/Laplace Transforms and Ruin Probabilities

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