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Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts

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  • Sanguesa, C.

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  • Sanguesa, C., 2006. "Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 69-80, August.
    • Handle: RePEc:eee:insuma:v:39:y:2006:i:1:p:69-80
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    References listed on IDEAS

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    1. Sundt, Bjorn, 2002. "Recursive evaluation of aggregate claims distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 297-322, June.
    2. Hesselager, Ole, 1994. "A Recursive Procedure for Calculation of some Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 24(1), pages 19-32, May.
    3. Grübel, Rudolf & Hermesmeier, Renate, 2000. "Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation," ASTIN Bulletin, Cambridge University Press, vol. 30(2), pages 309-331, November.
    4. Dickson, D. C. M., 2001. "Lundberg Approximations for Compound Distributions with Insurance Applications. By G. E. Willmot and X. S. Lin. (Springer, 2000)," British Actuarial Journal, Cambridge University Press, vol. 7(4), pages 690-691, October.
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    Cited by:

    1. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeLi, 2010. "Pricing catastrophe options with stochastic claim arrival intensity in claim time," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 24-32, January.
    2. Sangüesa, C., 2008. "Error bounds in approximations of random sums using gamma-type operators," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 484-491, April.
    3. Chang, Carolyn W. & Chang, Jack S.K. & Lu, WeiLi, 2008. "Pricing catastrophe options in discrete operational time," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 422-430, December.

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