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Another look at the Picard-Lefèvre formula for finite-time ruin probabilities
Insurance: Mathematics and Economics, 2004In the compound Poisson risk model, with discrete claim size distribution, Picard and Lefèvre derived a formula to compute the finite-horizon ruin probability. Here, some alternatives to this formula are proposed: exact recursive formulas which provide the distribution of time to ruin at once and a Seal-type formula which only involve probabilistic ...
Rullière, Didier, Loisel, Stéphane
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Methodology and Computing in Applied Probability, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Xiaohu, Wu, Jintang, Zhuang, Jinsen
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Xiaohu, Wu, Jintang, Zhuang, Jinsen
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Finite-time ruin probabilities using bivariate Laguerre series
Scandinavian Actuarial Journal, 2022Eric C. K. Cheung +3 more
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Ruin Time of Uncertain Insurance Risk Process
IEEE Transactions on Fuzzy Systems, 2018Kai Yao, Jian Zhou
exaly
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
Insurance: Mathematics and Economics, 2000Gordon E Willmot
exaly
On ruin for the Erlang(n) risk process
Insurance: Mathematics and Economics, 2004Shuanming Li, Jose garrido
exaly