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On a gamma series expansion for the time-dependent probability of collective ruin

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  • Albrecher, Hansjorg
  • Teugels, Jozef L.
  • Tichy, Robert F.

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  • Albrecher, Hansjorg & Teugels, Jozef L. & Tichy, Robert F., 2001. "On a gamma series expansion for the time-dependent probability of collective ruin," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 345-355, December.
    • Handle: RePEc:eee:insuma:v:29:y:2001:i:3:p:345-355
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    References listed on IDEAS

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    1. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    2. Sundt, Bjorn & Teugels, Jozef L., 1997. "The adjustment function in ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 85-94, April.
    3. Pervozvansky, A. Jr., 1998. "Equation for survival probability in a finite time interval in case of non-zero real interest force," Insurance: Mathematics and Economics, Elsevier, vol. 23(3), pages 287-295, December.
    4. Delbaen, F. & Haezendonck, J., 1987. "Classical risk theory in an economic environment," Insurance: Mathematics and Economics, Elsevier, vol. 6(2), pages 85-116, April.
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    Cited by:

    1. Cardoso, Rui M. R. & R. Waters, Howard, 2003. "Recursive calculation of finite time ruin probabilities under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 659-676, December.
    2. Albrecher, Hansjörg & Cheung, Eric C.K. & Liu, Haibo & Woo, Jae-Kyung, 2022. "A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 96-118.
    3. Albrecher, Hansjörg & Thonhauser, Stefan, 2008. "Optimal dividend strategies for a risk process under force of interest," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 134-149, August.
    4. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    5. Cardoso, Rui M.R. & Waters, Howard R., 2005. "Calculation of finite time ruin probabilities for some risk models," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 197-215, October.

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