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Taylor-series expansion for multivariate characteristics of classical risk processes

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  • Frey, Andreas
  • Schmidt, Volker

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  • Frey, Andreas & Schmidt, Volker, 1996. "Taylor-series expansion for multivariate characteristics of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 1-12, May.
    • Handle: RePEc:eee:insuma:v:18:y:1996:i:1:p:1-12
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    References listed on IDEAS

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    1. Blanc, J.P.C., 1990. "The power-series algorithm applied to cyclic polling systems," Research Memorandum FEW 445, Tilburg University, School of Economics and Management.
    2. Dickson, David C. M., 1992. "On the distribution of the surplus prior to ruin," Insurance: Mathematics and Economics, Elsevier, vol. 11(3), pages 191-207, October.
    3. Blanc, J.P.C., 1988. "A numerical approach to cyclic-service queueing models," Research Memorandum FEW 312, Tilburg University, School of Economics and Management.
    4. Dickson, David C. M., 1989. "Recursive calculation of the probability and severity of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 8(2), pages 145-148, June.
    5. Martin I. Reiman & Burton Simon, 1989. "Open Queueing Systems in Light Traffic," Mathematics of Operations Research, INFORMS, vol. 14(1), pages 26-59, February.
    6. Dickson, David C. M., 1993. "On the distribution of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 143-154, April.
    7. Asmussen, Søren & Schmidt, Volker, 1995. "Ladder height distributions with marks," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 105-119, July.
    8. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 151-163, November.
    9. Dufresne, Francois & Gerber, Hans U., 1988. "The probability and severity of ruin for combinations of exponential claim amount distributions and their translations," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 75-80, April.
    10. Dufresne, Francois & Gerber, Hans U., 1988. "The surpluses immediately before and at ruin, and the amount of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 7(3), pages 193-199, October.
    11. De Vylder, F. & Goovaerts, M. J., 1988. "Recursive calculation of finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 1-7, January.
    12. Dickson, David C. M. & Waters, Howard R., 1991. "Recursive Calculation of Survival Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 199-221, November.
    13. Dickson, David C. M. & Waters, Howard R., 1992. "The Probability and Severity of Ruin in Finite and Infinite Time," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 177-190, November.
    14. Blaszczyszyn, B., 1995. "Factorial moment expansion for stochastic systems," Stochastic Processes and their Applications, Elsevier, vol. 56(2), pages 321-335, April.
    15. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    Cited by:

    1. Usabel, M. A., 1999. "A note on the Taylor series expansions for multivariate characteristics of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 37-47, September.
    2. Usabel, M. A., 1999. "Practical approximations for multivariate characteristics of risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 397-413, December.
    3. Blaszczyszyn, Bartlomiej & Merzbach, Ely & Schmidt, Volker, 1997. "A note on expansion for functionals of spatial marked point processes," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 299-306, December.
    4. Usabel, Miguel, 1999. "Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 133-142, November.
    5. Ayhan, Hayriye & Schlegel, Sabine, 2001. "Expansion formulae for characteristics of cumulative cost in finite horizon production models," European Journal of Operational Research, Elsevier, vol. 132(1), pages 50-61, July.

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