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Some Numerical Aspects in Transient Risk Theory

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  • Janssen, J.
  • Delfosse, Ph.

Abstract

We give some actual possibilities for computing numerical values in the classical risk models both in transient and asymptotical cases by introducing the concept of normed model. Some recent approximations are tested on numerical examples. We also emphasize the interest of these methods to compute waiting time distributions (transient and stationary cases) in queueing theory.

Suggested Citation

  • Janssen, J. & Delfosse, Ph., 1982. "Some Numerical Aspects in Transient Risk Theory," ASTIN Bulletin, Cambridge University Press, vol. 13(2), pages 99-114, December.
    • Handle: RePEc:cup:astinb:v:13:y:1982:i:02:p:99-114_00
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    Cited by:

    1. Stanford, David A. & Stroinski, Krzysztof J. & Lee, Karen, 2000. "Ruin probabilities based at claim instants for some non-Poisson claim processes," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 251-267, May.
    2. Meakin, Paul & Matsushita, M. & Hayakawa, Y., 1989. "The growth of ramified clusters by particle evaporation and condensation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 161(3), pages 457-475.

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