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Recursive calculation of finite time ruin probabilities under interest force
Insurance: Mathematics and Economics, 2003zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cardoso, Rui M. R., Waters, Howard R.
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The Ruin Probability During a Finite Time Period
1977In Section 1.4 a brief reference was made to some important problems arising from considerations of the financial operations of an insurance company. In the preceding chapters an insurance business has been considered at the end-points of certain time intervals, mainly at the end of the year.
Robert Eric Beard +2 more
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Finite-time ruin probability in the inhomogeneous claim case
Lithuanian Mathematical Journal, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Blaževičius, K. +2 more
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An improved finite-time ruin probability formula and its Mathematica implementation
Insurance: Mathematics and Economics, 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ignatov, Zvetan G. +2 more
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Saddlepoint approximations for the probability of ruin in finite time
Scandinavian Actuarial Journal, 1995Saddlepoint techniques are applied to obtain approximations for the probability of ruin both in finite and in infinite time for the classical Cramer-Lundberg model. The resulting approximations are compared to exact values.
Barndorff-Nielsen, Ole E. +1 more
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Calculation of finite time ruin probabilities for some risk models
Insurance: Mathematics and Economics, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cardoso, Rui M. R., Waters, Howard R.
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Approximations for the probability of ruin within finite time
Scandinavian Actuarial Journal, 1984Abstract A number of approximations for the probability of ruin before time T are surveyed, some new ones are suggested and numerical comparisons with the exact values are given for the Poisson/Exponential case. The approximations include normal ones and diffusion types.
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Two-Sided Bounds for the Finite Time Probability of Ruin
Scandinavian Actuarial Journal, 2000Explicit, two-sided bounds are derived for the probability of ruin of an insurance company, whose premium income is represented by an arbitrary, increasing real function, the claims are dependent, integer valued r.v.s and their inter-occurrence times are exponentially, non-identically distributed.
Z. G. Ignatov, V. K. Kaishev
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Representation and explicit calculation of Finite-time ruin probabilities
Scandinavian Actuarial Journal, 1978Abstract The paper presents in Section 3 and 4 two series expansions of U (w, t), the probability of non-ruin over a time-interval of length t when initial reserves are w. In Section 5 is developed a method for numerical approximation of U (w, t) given the first few moments of individual claim size distribution.
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Asymptotic behaviour of the finite‐time ruin probability in renewal risk models
Applied Stochastic Models in Business and Industry, 2008AbstractIn this paper we study the tail behaviour of the probability of ruin within finite time t, as initial risk reserve x tends to infinity, for the renewal risk model with strongly subexponential claim sizes. The asymptotic formula holds uniformly for t∈[f(x), ∞), where f(x) is an infinitely increasing function, and substantially extends the result
Leipus, Remigijus, Šiaulys, Jonas
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