On the evaluation of finite-time ruin probabilities in a dependent risk model

DOI10.1016/J.AMC.2015.11.082zbMath1410.60044OpenAlexW1519225716MaRDI QIDQ668925

Vladimir K. Kaishev, Shouqi Zhao, Dimitrina S. Dimitrova

Publication date: 19 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13378/1/Dimitrova%20et%20al.%20%282015%29%20AMC.pdf

zbMATH Keywords

order statisticsAppell polynomialsnumerical implementationfinite time ruin probabilitydependent risk modeling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (5)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ Analysis of an aggregate loss model in a Markov renewal regime ⋮ Ruin and deficit under claim arrivals with the order statistics property ⋮ Two-sided exit problems in the ordered risk model ⋮ Fraud risk assessment within blockchain transactions

Uses Software

• QRM

Cites Work

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