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Scale Functions and Ruin Probabilities

2013
The two main results from the previous chapters concerning the law of the maximum and minimum of the Cramer–Lundberg process can now be put to use in order to establish our first results concerning the classical ruin problem. We introduce the so-called scale functions, which will prove to be indispensable, both in this chapter and later, when ...
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Ruin Probabilities

Journal of the American Statistical Association, 2002
openaire   +2 more sources

Ruin probabilities

Scandinavian Actuarial Journal, 1971
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Intersections of ruin probability functions

2010
U disertaciji se proučavaju presjecišta dvaju funkcija propasti za različite parove slučajnih procesa. Najprije opišemo osnovni objekt proučavanja - Levyjev proces, sa posebnim naglaskom na spektralno negativan Levyjev proces. Zatim uspoređujemo vjerojatnosti propasti obzirom na početni kapital za dva različita spektralno negativna Levyjeva procesa ...
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Growth paths and survival chances: An application of Gambler's Ruin theory

Journal of Business Venturing, 2013
alexander Coad   +2 more
exaly  

Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate

Methodology and Computing in Applied Probability, 2011
Kaiyong Wang, Qingwu Gao
exaly  

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