𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Recursive calculation of finite-time ruin probabilities

✍ Scribed by F. De Vylder; M.J. Goovaerts

Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
371 KB
Volume
7
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Bayesian estimation of finite time ruin
Bayesian estimation of finite time ruin probabilities
✍ M. Concepcion Ausin; Michael P. Wiper; Rosa E. Lillo πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 282 KB

## Abstract In this paper, we consider Bayesian inference and estimation of finite time ruin probabilities for the Sparre Andersen risk model. The dense family of Coxian distributions is considered for the approximation of both the inter‐claim time and claim size distributions. We illustrate that t

Asymptotic behaviour of the finite-time
Asymptotic behaviour of the finite-time ruin probability in renewal risk models
✍ Remigijus Leipus; Jonas Ε iaulys πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 125 KB πŸ‘ 2 views

## Abstract In 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

Asymptotic finite-time ruin probabilitie
Asymptotic finite-time ruin probabilities for a class of path-dependent heavy-tailed claim amounts using Poisson spacings
✍ Romain Biard; Claude LefΓ¨vre; StΓ©phane Loisel; Haikady N. Nagaraja πŸ“‚ Article πŸ“… 2010 πŸ› John Wiley and Sons 🌐 English βš– 497 KB πŸ‘ 2 views

In the compound Poisson risk model, several strong hypotheses may be found too restrictive to describe accurately the evolution of the reserves of an insurance company. This is especially true for a company that faces natural disaster risks like earthquake or flooding. For such risks, claim amounts