IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v35y2004i2p187-203.html
   My bibliography  Save this article

Another look at the Picard-Lefevre formula for finite-time ruin probabilities

Author

Listed:
  • Rulliere, Didier
  • Loisel, Stephane

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:2:p:187-203
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(04)00070-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. H. Panjer, Harry & Shaun Wang,, 1993. "On the Stability of Recursive Formulas," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 227-258, November.
    2. 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.
    3. Picard, Philippe & Lefevre, Claude, 1998. "The moments of ruin time in the classical risk model with discrete claim size distribution," Insurance: Mathematics and Economics, Elsevier, vol. 23(2), pages 157-172, November.
    4. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Goffard, Pierre-Olivier & Lefèvre, Claude, 2018. "Duality in ruin problems for ordered risk models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52.
    2. 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.
    3. Claude Lefèvre & Philippe Picard, 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach," Risks, MDPI, vol. 1(3), pages 1-21, December.
    4. Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013. "The density of the ruin time for a renewal-reward process perturbed by a diffusion," Post-Print hal-00625099, HAL.
    5. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
    6. 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.
    7. 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.
    8. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
    9. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
    10. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, 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. Pierre-Olivier Goffard & Claude Lefèvre, 2018. "Duality in ruin problems for ordered risk models," Post-Print hal-01398910, HAL.
    13. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    14. Tamturk, Muhsin & Utev, Sergey, 2018. "Ruin probability via Quantum Mechanics Approach," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74.
    15. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Working Papers hal-00744351, HAL.
    16. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
    17. Zhang, Huiming & Liu, Yunxiao & Li, Bo, 2014. "Notes on discrete compound Poisson model with applications to risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 325-336.
    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. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
    20. Mazza, Christian & Rulliere, Didier, 2004. "A link between wave governed random motions and ruin processes," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.
    21. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Papers 1210.6000, arXiv.org, revised Oct 2012.
    22. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. 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.
    2. 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.
    3. Venegas-Martínez, Francisco & Franco-Arbeláez, Luis Ceferino & Franco-Ceballos, Luis Eduardo & Murillo-Gómez, Juan Guillermo, 2015. "Riesgo operativo en el sector salud en Colombia: 2013," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(43), pages 7-36, segundo s.
    4. Gathy, Maude & Lefèvre, Claude, 2010. "On the Lagrangian Katz family of distributions as a claim frequency model," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 76-83, August.
    5. Paul Embrechts & Marco Frei, 2009. "Panjer recursion versus FFT for compound distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 497-508, July.
    6. Sundt, Bjorn, 2002. "Recursive evaluation of aggregate claims distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 297-322, June.
    7. Ambagaspitiya, R. S., 1995. "A family of discrete distributions," Insurance: Mathematics and Economics, Elsevier, vol. 16(2), pages 107-127, May.
    8. Franco-Arbeláez, Luis Ceferino & Franco-Ceballos, Luis Eduardo & Murillo-Gómez, Juan Guillermo & Venegas-Martínez, Francisco, 2015. "Riesgo operativo en el sector salud en Colombia [Operational Risk in the Health Sector in Colombia]," MPRA Paper 63149, University Library of Munich, Germany.
    9. 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.
    10. Muneya Matsui, 2017. "Prediction of Components in Random Sums," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 573-587, June.
    11. Dhaene, Jan & Vandebroek, Martina, 1995. "Recursions for the individual model," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 31-38, April.
    12. Vernic, Raluca, 2018. "On the evaluation of some multivariate compound distributions with Sarmanov’s counting distribution," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 184-193.
    13. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.
    14. Nabil Kazi-Tani, 2020. "Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria," Working Papers hal-01742638, HAL.
    15. P. Del Moral & G. W. Peters & Ch. Verg'e, 2012. "An introduction to particle integration methods: with applications to risk and insurance," Papers 1210.3851, arXiv.org, revised Oct 2012.
    16. Bae, Taehan & Kim, Changki & Kulperger, Reginald J., 2009. "Securitization of motor insurance loss rate risks," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 48-58, February.
    17. Emilio Gómez-Déniz & Jorge V. Pérez-Rodríguez & Simón Sosvilla-Rivero, 2022. "Analyzing How the Social Security Reserve Fund in Spain Affects the Sustainability of the Pension System," Risks, MDPI, vol. 10(6), pages 1-17, June.
    18. Li, Shuanming & Garrido, José, 2002. "On the time value of ruin in the discrete time risk model," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    19. Willmot, Gordon E., 1997. "Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 25-42, October.
    20. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Jing Yao, 2017. "How robust is the value-at-risk of credit risk portfolios?," The European Journal of Finance, Taylor & Francis Journals, vol. 23(6), pages 507-534, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:35:y:2004:i:2:p:187-203. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.