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An improved finite-time ruin probability formula and its Mathematica implementation

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  • Ignatov, Zvetan G.
  • Kaishev, Vladimir K.
  • Krachunov, Rossen S.

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  • Ignatov, Zvetan G. & Kaishev, Vladimir K. & Krachunov, Rossen S., 2001. "An improved finite-time ruin probability formula and its Mathematica implementation," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 375-386, December.
    • Handle: RePEc:eee:insuma:v:29:y:2001:i:3:p:375-386
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    Citations

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    Cited by:

    1. Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
    2. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2016. "On the evaluation of finite-time ruin probabilities in a dependent risk model," Applied Mathematics and Computation, Elsevier, vol. 275(C), pages 268-286.
    3. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    4. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
    5. Claude Lefèvre, 2007. "Discrete Compound Poisson Process with Curved Boundaries: Polynomial Structures and Recursions," Methodology and Computing in Applied Probability, Springer, vol. 9(2), pages 243-262, June.
    6. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.
    7. Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2017. "On the First Crossing of Two Boundaries by an Order Statistics Risk Process," Risks, MDPI, vol. 5(3), pages 1-14, August.
    8. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.
    9. Biard, Romain & Lefèvre, Claude & Loisel, Stéphane, 2008. "Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 412-421, December.
    10. Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.
    11. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    12. Marie Kratz & Shubhabrata Das, 2010. "On Devising Various Alarm Systems for Insurance Companies," Post-Print hal-00572546, HAL.
    13. Tamturk, Muhsin & Utev, Sergey, 2018. "Ruin probability via Quantum Mechanics Approach," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74.
    14. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
    15. Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008. "Impact of correlation crises in risk theory," Post-Print hal-00308782, HAL.
    16. Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev, 2018. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling," Risks, MDPI, vol. 6(3), pages 1-17, September.
    17. Lefèvre, Claude & Picard, Philippe, 2011. "A new look at the homogeneous risk model," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519.
    18. Li, Shuanming & Lu, Yi, 2017. "Distributional study of finite-time ruin related problems for the classical risk model," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 319-330.
    19. Drekic, Steve & Stafford, James E. & Willmot, Gordon E., 2004. "Symbolic calculation of the moments of the time of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 109-120, February.
    20. Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2019. "Ruin and Deficit Under Claim Arrivals with the Order Statistics Property," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 511-530, June.

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