Approximating the finite-time ruin probability under interest force

DOI10.1016/S0167-6687(01)00083-XzbMath0991.60080MaRDI QIDQ5956046

Ruud C. M. Brekelmans, Anja De Waegenaere

Publication date: 11 April 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

exponential distributionboundsrisk processruin probabilityinterest ratePareto distributionrenewal equationaggregate claim amountconstant interest forcePanjer's recursive method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (5)

Asymptotic ruin probabilities of a dependent renewal risk model based on entrance processes with constant interest rate ⋮ Computing finite-time survival probabilities using multinomial approximations of risk models ⋮ A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments ⋮ Recursive calculation of finite time ruin probabilities under interest force. ⋮ The win-first probability under interest force

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Macro-economic version of a classical formula in risk theory
• Delay in claim settlement
• Recursive calculation of finite-time ruin probabilities
• Ruin theory with compounding assets -- a survey
• Ruin estimates under interest force
• Ruin probabilities with compounding assets
• Present value distributions with applications to ruin theory and stochastic equations

This page was built for publication: Approximating the finite-time ruin probability under interest force