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Content
August 2006, Volume 39, Issue 1
- 35-46 A private management strategy for the crop yield insurer: A theoretical approach and tests
by Phelippe-Guinvarc'h, Martial V. & Cordier, Jean E.
- 47-68 Optimal insurance in a continuous-time model
by Moore, Kristen S. & Young, Virginia R.
- 69-80 Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
by Sanguesa, C.
- 81-98 Optimal investment decisions with a liability: The case of defined benefit pension plans
by Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo
- 99-113 Generalized estimating equations for variance and covariance parameters in regression credibility models
by Lo, Chi Ho & Fung, Wing Kam & Zhu, Zhong Yi
- 115-121 On the use of posterior regret [Gamma]-minimax actions to obtain credibility premiums
by Gomez-Deniz, E. & Perez-Sanchez, J.M. & Vazquez-Polo, F.J.
- 123-133 Dynamic greeks
by Norberg, Ragnar
- 135-149 Pricing of multi-period rate of return guarantees: The Monte Carlo approach
by Bakken, Henrik & Lindset, Snorre & Olson, Lars Hesstvedt
- 151-170 On the stop-loss transform and order for the surplus process perturbed by diffusion
by Tsai, Cary Chi-Liang
June 2006, Volume 38, Issue 3
- 427-440 Mortality-dependent financial risk measures
by Dowd, Kevin & Cairns, Andrew J.G. & Blake, David
- 441-459 On univariate extreme value statistics and the estimation of reinsurance premiums
by Vandewalle, B. & Beirlant, J.
- 460-468 Variability of total claim amounts under dependence between claims severity and number of events
by Belzunce, Felix & Ortega, Eva-Maria & Pellerey, Franco & Ruiz, Jose M.
- 469-483 Catastrophe options with stochastic interest rates and compound Poisson losses
by Jaimungal, Sebastian & Wang, Tao
- 484-494 Monotonicity results for portfolios with heterogeneous claims arrival processes
by Frostig, Esther & Denuit, Michel
- 495-517 Enhancing insurer value through reinsurance optimization
by Krvavych, Yuriy & Sherris, Michael
- 518-528 Minimax pricing and Choquet pricing
by Chen, Zengjing & Kulperger, Reg
- 529-539 The maximum surplus before ruin in an Erlang(n) risk process and related problems
by Li, Shuanming & Dickson, David C.M.
- 540-555 Modelling negatives in stochastic reserving models
by Kunkler, Michael
- 556-570 A cohort-based extension to the Lee-Carter model for mortality reduction factors
by Renshaw, A.E. & Haberman, S.
- 571-584 Weak convergence of a bootstrap geometric-type estimator with applications to risk theory
by Brito, Margarida & Moreira Freitas, Ana Cristina
- 585-598 Pricing and hedging guaranteed returns on mix funds
by Vellekoop, M.H. & Vd Kamp, A.A. & Post, B.A.
- 599-608 Hedging life insurance contracts in a Lévy process financial market
by Riesner, Martin
- 609-629 Claim dependence with common effects in credibility models
by Yeo, Keng Leong & Valdez, Emiliano A.
- 630-639 Analysis of risk measures for reinsurance layers
by Ladoucette, Sophie A. & Teugels, Jef L.
April 2006, Volume 38, Issue 2
- 215-228 Hedging guarantees in variable annuities under both equity and interest rate risks
by Coleman, Thomas F. & Li, Yuying & Patron, Maria-Cristina
- 229-252 Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims
by Guillen, Montserrat & Jorgensen, Peter Lochte & Nielsen, Jens Perch
- 253-270 Testing hypotheses about the equality of several risk measure values with applications in insurance
by Jones, Bruce L. & Puri, Madan L. & Zitikis, Ricardas
- 271-288 The impact of the determinants of mortality on life insurance and annuities
by Kwon, Hyuk-Sung & Jones, Bruce L.
- 289-297 Consistent risk measures for portfolio vectors
by Burgert, Christian & Ruschendorf, Ludger
- 298-308 On the first time of ruin in the bivariate compound Poisson model
by Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan
- 309-323 Ruin probabilities in the discrete time renewal risk model
by Cossette, Helene & Landriault, David & Marceau, Etienne
- 324-334 A new characterization of distortion premiums via countable additivity for comonotonic risks
by Wu, Xianyi & Zhou, Xian
- 335-346 Survival risks, intertemporal consumption, and insurance: The case of distorted probabilities
by Bleichrodt, Han & Eeckhoudt, Louis
- 347-359 Production under uncertainty with insurance or hedging
by Hau, Arthur
- 360-373 Copula credibility for aggregate loss models
by Frees, Edward W. & Wang, Ping
- 374-390 An insurance network: Nash equilibrium
by Ramasubramanian, S.
- 391-405 The preservation of classes of discrete distributions under convolution and mixing
by Pavlova, Kristina P. & Cai, Jun & Willmot, Gordon E.
- 406-412 Preservation of the location independent risk order under convolution
by Hu, Taizhong & Chen, Jing & Yao, Junchao
- 413-426 Multivariate skew-normal distributions with applications in insurance
by Vernic, Raluca
February 2006, Volume 38, Issue 1
- 1-20 Evaluating and extending the Lee-Carter model for mortality forecasting: Bootstrap confidence interval
by Koissi, Marie-Claire & Shapiro, Arnold F. & Hognas, Goran
- 21-38 Financial valuation of guaranteed minimum withdrawal benefits
by Milevsky, Moshe A. & Salisbury, Thomas S.
- 39-56 Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities
by Geluk, J.L. & De Vries, C.G.
- 57-80 The compound Poisson risk model with a threshold dividend strategy
by Lin, X.Sheldon & Pavlova, Kristina P.
- 81-97 Affine stochastic mortality
by Schrager, David F.
- 98-112 An application of the [alpha]-power approximation in multiple life insurance
by Yi, Zhang & Weng, Chengguo
- 113-131 On the control of defined-benefit pension plans
by Huang, Hong-Chih & Cairns, Andrew J.G.
- 132-148 Stochastic orders and risk measures: Consistency and bounds
by Bauerle, Nicole & Muller, Alfred
- 149-156 Recursions for compound phase distributions
by Eisele, Karl-Theodor
- 157-166 A volatility-varying and jump-diffusion Merton type model of interest rate risk
by Espinosa, Fernando & Vives, Josep
- 167-175 Optimal portfolio problem with unknown dependency structure
by Cheung, Ka Chun
- 176-188 Speedy convolution algorithms and Panjer recursions for phase-type distributions
by Hipp, Christian
- 189-194 Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach
by Tank, Fatih & Gebizlioglu, Omer L. & Apaydin, Aysen
- 195-214 The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case
by Ballotta, Laura & Haberman, Steven
December 2005, Volume 37, Issue 3
- 421-442 The win-first probability under interest force
by Rulliere, Didier & Loisel, Stephane
- 443-468 Affine processes for dynamic mortality and actuarial valuations
by Biffis, Enrico
- 469-493 Benefit uncertainty and default risk in pension plans
by Khorasanee, Zaki
- 494-504 Multinomial model for random sums
by Kolev, Nikolai & Paiva, Delhi
- 505-521 The expected value of the time of ruin and the moments of the discounted deficit at ruin in the perturbed classical risk process
by Ren, Jiandong
- 522-532 On the probability of ruin in a Markov-modulated risk model
by Lu, Yi & Li, Shuanming
- 533-552 Fair valuation of participating policies with surrender options and regime switching
by Siu, Tak Kuen
- 553-572 Static-arbitrage optimal subreplicating strategies for basket options
by Hobson, David & Laurence, Peter & Wang, Tai-Ho
- 573-584 Occupation measure and local time of classical risk processes
by Kolkovska, Ekaterina T. & Lopez-Mimbela, Jose A. & Morales, Jose Villa
- 585-598 Merton's model of optimal portfolio in a Black-Scholes Market driven by a fractional Brownian motion with short-range dependence
by Jumarie, Guy
- 599-614 Optimal stopping behavior of equity-linked investment products with regime switching
by Cheung, Ka Chun & Yang, Hailiang
- 615-634 Optimal investment for insurer with jump-diffusion risk process
by Yang, Hailiang & Zhang, Lihong
- 635-649 Risk capital decomposition for a multivariate dependent gamma portfolio
by Furman, Edward & Landsman, Zinoviy
- 650-672 On the discounted penalty function in a Markov-dependent risk model
by Albrecher, Hansjorg & Boxma, Onno J.
October 2005, Volume 37, Issue 2
- 153-153 Preface
by Angela, Carla & Olivieri, Gennaro
- 154-172 Some asymptotic results for sums of dependent random variables, with actuarial applications
by Laeven, Roger J.A. & Goovaerts, Marc J. & Hoedemakers, Tom
- 173-196 A Lévy process-based framework for the fair valuation of participating life insurance contracts
by Ballotta, Laura
- 197-215 Calculation of finite time ruin probabilities for some risk models
by Cardoso, Rui M.R. & Waters, Howard R.
- 216-228 The expected time to ruin in a risk process with constant barrier via martingales
by Frostig, Esther
- 229-238 Dependent risks and excess of loss reinsurance
by de Lourdes Centeno, Maria
- 239-269 Approximations for life annuity contracts in a stochastic financial environment
by Hoedemakers, Tom & Darkiewicz, Grzegorz & Goovaerts, Marc
- 270-296 Endogenous model of surrender conditions in equity-linked life insurance
by Bacinello, Anna Rita
- 297-323 Risk measure and fair valuation of an investment guarantee in life insurance
by Barbarin, Jerome & Devolder, Pierre
- 324-334 On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times
by Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite
- 335-354 Optimal contributions in a defined benefit pension scheme with stochastic new entrants
by Colombo, Luigi & Haberman, Steven
- 355-370 Incorporating expert opinion into a stochastic model for the chain-ladder technique
by Verrall, R.J. & England, P.D.
August 2005, Volume 37, Issue 1
- 1-2 Preface
by Genest, Christian
- 3-5 In memory of Bruno Bassan: Short biography and list of publications
by Scarsini, Marco & Spizzichino, Fabio
- 6-12 Bivariate survival models with Clayton aging functions
by Bassan, Bruno & Spizzichino, Fabio
- 13-26 Some notions of multivariate positive dependence
by Colangelo, Antonio & Scarsini, Marco & Shaked, Moshe
- 27-41 Discrete quasi-copulas
by Quesada Molina, Jose Juan & Sempi, Carlo
- 42-48 Copulas with fractal supports
by Fredricks, Gregory A. & Nelsen, Roger B. & Rodriguez-Lallena, Jose Antonio
- 49-67 Generalized diagonal band copulas
by Lewandowski, Daniel
- 68-79 Case studies in multivariate-to-anything transforms for partially specified random vector generation
by Stanhope, Stephen
- 80-100 Estimating the tail-dependence coefficient: Properties and pitfalls
by Frahm, Gabriel & Junker, Markus & Schmidt, Rafael
- 101-114 Bivariate option pricing using dynamic copula models
by van den Goorbergh, Rob W.J. & Genest, Christian & Werker, Bas J.M.
- 115-134 Worst VaR scenarios
by Embrechts, Paul & Hoing, Andrea & Puccetti, Giovanni
- 135-151 Bounds on the value-at-risk for the sum of possibly dependent risks
by Mesfioui, Mhamed & Quessy, Jean-Francois
June 2005, Volume 36, Issue 3
- 237-250 Approximations for stop-loss reinsurance premiums
by Reijnen, Rajko & Albers, Willem & Kallenberg, Wilbert C.M.
- 251-259 A large deviation result for aggregate claims with dependent claim occurrences
by Kaas, Rob & Tang, Qihe
- 260-284 Bayesian Poisson log-bilinear mortality projections
by Czado, Claudia & Delwarde, Antoine & Denuit, Michel
- 285-302 Extremes of asymptotically spherical and elliptical random vectors
by Hashorva, Enkelejd
- 303-316 Ruin probability in the continuous-time compound binomial model
by Liu, Guoxin & Wang, Ying & Zhang, Bei
- 317-328 Axiom of solvency and portfolio immunization under random interest rates
by Gajek, Leslaw
- 329-346 Pricing equity-linked pure endowments with risky assets that follow Lévy processes
by Jaimungal, Sebastian & Young, Virginia R.
- 347-364 Unifying framework for optimal insurance
by Promislow, S.David & Young, Virginia R.
- 365-374 On a joint distribution for the risk process with constant interest force
by Wu, Rong & Wang, Guojing & Zhang, Chunsheng
- 375-398 Optimal reinsurance under convex principles of premium calculation
by Kaluszka, Marek
- 399-420 A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments
by Paulsen, Jostein & Kasozi, Juma & Steigen, Andreas
- 421-432 Weak convergence approach to compound Poisson risk processes perturbed by diffusion
by Sarkar, Joykrishna & Sen, Arusharka
- 433-440 Controlled risk processes in discrete time: Lower and upper approximations to the optimal probability of ruin
by Groniowska, Agnieszka & Niemiro, Wojciech
- 441-455 The pricing of liabilities in an incomplete market using dynamic mean-variance hedging
by Thomson, Robert J.
- 456-468 On a correlated aggregate claims model with thinning-dependence structure
by Wang, Guojing & Yuen, Kam C.
- 469-484 Cyclical risk exposure of pension funds: A theoretical framework
by Menoncin, Francesco
- 485-498 Second order behaviour of ruin probabilities in the case of large claims
by Baltru-nas, Aleksandras
- 499-516 Market value of life insurance contracts under stochastic interest rates and default risk
by Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, Francois
- 517-518 Note on option pricing by actuarial considerations
by Schmitz, Norbert
April 2005, Volume 36, Issue 2
February 2005, Volume 36, Issue 1
- 1-11 Worst-case scenario investment for insurers
by Korn, Ralf
- 13-24 On the deficit distribution when ruin occurs--discrete time model
by Gajek, Leslaw
- 25-35 On optimal investment and subexponential claims
by Schmidli, Hanspeter
- 37-55 Pricing optional group term insurance: a new approach using reservation prices
by Ramsay, Colin M.
- 57-77 The compound Poisson random variable's approximation to the individual risk model
by Yang, Jingping & Zhou, Shulin & Zhang, Zhenyong
- 79-92 The valuation of unit-linked policies with or without surrender options
by Shen, Weixi & Xu, Huiping
- 93-101 Degree of downside risk aversion and self-protection
by Chiu, W.Henry
- 103-116 Optimal pension funding dynamics over infinite control horizon when stochastic rates of return are stationary
by Haberman, Steven & Sung, Joo-Ho
December 2004, Volume 35, Issue 3
- 513-525 Ruin probabilities with a Markov chain interest model
by Cai, Jun & Dickson, David C.M.
- 527-536 An extension of Arrow's result on optimality of a stop loss contract
by Kaluszka, Marek
- 537-551 The premium and the risk of a life policy in the presence of interest rate fluctuations
by Wang, Nan & Gerrard, Russell & Haberman, Steven
- 553-561 When does surplus reach a certain level before ruin?
by Zhou, Xiaowen
- 563-579 On the generalization of Esscher and variance premiums modified for the elliptical family of distributions
by Landsman, Zinoviy
- 581-594 A comonotonic image of independence for additive risk measures
by Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A. & Tang, Qihe
- 595-609 Ordering optimal proportions in the asset allocation problem with dependent default risks
by Cheung, Ka Chun & Yang, Hailiang
- 611-625 An efficient frontier for participating policies in a continuous-time economy
by Iwaki, Hideki & Yumae, Shoji
- 627-647 Non-life rate-making with Bayesian GAMs
by Denuit, Michel & Lang, Stefan
- 649-677 Analytically calibrated Box-Cox percentile limits for duration and event-time models
by Yang, Zhenlin & Tsui, Albert K.
- 679-690 A Malliavin calculus approach to sensitivity analysis in insurance
by Privault, Nicolas & Wei, Xiao
- 691-701 On a class of renewal risk models with a constant dividend barrier
by Li, Shuanming & Garrido, Jose
- 703-714 On the distribution of surplus immediately after ruin under interest force and subexponential claims
by Wang, Rongming & Yang, Hailiang & Wang, Hanxing
October 2004, Volume 35, Issue 2
- 185-185 Preface
by Quittard-Pinon, Francois & Serant, Daniel
- 187-203 Another look at the Picard-Lefevre formula for finite-time ruin probabilities
by Rulliere, Didier & Loisel, Stephane
- 205-222 A link between wave governed random motions and ruin processes
by Mazza, Christian & Rulliere, Didier
- 223-243 Dynamic capital allocation with distortion risk measures
by Tsanakas, Andreas
- 245-254 A ruin model with dependence between claim sizes and claim intervals
by Albrecher, Hansjorg & Boxma, Onno J.
- 255-265 Optimal stopping and American options with discrete dividends and exogenous risk
by Battauz, A. & Pratelli, M.
- 267-277 The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
by Pavlova, Kristina P. & Willmot, Gordon E.
- 279-298 Survival models in a dynamic context: a survey
by Pitacco, Ermanno
- 299-319 An optimization approach to the dynamic allocation of economic capital
by Laeven, Roger J. A. & Goovaerts, Marc J.
- 321-342 Optimal investment choices post-retirement in a defined contribution pension scheme
by Gerrard, Russell & Haberman, Steven & Vigna, Elena
- 343-367 Approximation of stop-loss premiums involving sums of lognormals by conditioning on two variables
by Vanmaele, Michele & Deelstra, Griselda & Liinev, Jan
- 369-398 Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance
by Schrager, David F. & Pelsser, Antoon A.J.
- 399-424 Fuzzy logic in insurance
by Shapiro, Arnold F.
- 425-443 Compound binomial risk model in a markovian environment
by Cossette, Helene & Landriault, David & Marceau, Etienne
August 2004, Volume 35, Issue 1
- 1-1 Editorial
by Gerber, Hans U. & Goovaerts, Marc & Kaas, Rob & Shiu, Elias S. W.
- 5-19 On the discounted distribution functions for the Erlang(2) risk process
by Tsai, Cary Chi-Liang & Sun, Li-juan
- 21-51 Optimal control of risk exposure, reinsurance and investments for insurance portfolios
by Irgens, Christian & Paulsen, Jostein
- 53-67 Modelling losses using an exponential-inverse Gaussian distribution
by Frangos, Nikolaos & Karlis, Dimitris
- 69-76 Generalized correlation order and stop-loss order
by Lu, Tong-Yu & Yi, Zhang
- 77-95 Diversification of aggregate dependent risks
by Alink, Stan & Lowe, Matthias & V. Wuthrich, Mario
- 97-111 Arbitrage-free premium calculation for extreme losses using the shot noise process and the Esscher transform
by Jang, Ji-Wook & Krvavych, Yuriy
- 113-136 Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
by Dahl, Mikkel
- 137-153 Insurance contracts portfolios with heterogenous insured ages
by Dahan, Merav & Frostig, Esther & Langberg, Naftali A.
June 2004, Volume 34, Issue 3
- 391-408 On ruin for the Erlang(n) risk process
by Li, Shuanming & Garrido, Jose
- 409-419 Universal strategies for diffusion markets and possibility of asymptotic arbitrage
by Dokuchaev, N. G. & Savkin, Andrey V.
- 421-447 Ruined moments in your life: how good are the approximations?
by Huang, H. & Milevsky, M. A. & Wang, J.
- 449-466 Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
by Cossette, Helene & Landriault, David & Marceau, Etienne
- 467-487 Detecting positive quadrant dependence and positive function dependence
by Janic-Wroblewska, A. & Kallenberg, W. C. M. & Ledwina, T.
- 489-503 Optimal risk management in defined benefit stochastic pension funds
by Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo
- 505-516 Some new classes of consistent risk measures
by Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe
- 517-537 Estimating catastrophic quantile levels for heavy-tailed distributions
by Matthys, Gunther & Delafosse, Emmanuel & Guillou, Armelle & Beirlant, Jan
- 539-545 What kind of new asset will push up the CML?
by Zhang, Bo
April 2004, Volume 34, Issue 2
- 177-192 Heterogeneous INAR(1) model with application to car insurance
by Gourieroux, C. & Jasiak, J.
- 193-225 Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE
by Hubalek, Friedrich & Schachermayer, Walter
- 227-240 Optimal reinsurance under general risk measures
by Gajek, Leslaw & Zagrodny, Dariusz
- 241-250 A stop-loss risk index
by Wei, Wang & Yatracos, Yannis
- 251-257 A note on a class of delayed renewal risk processes
by Willmot, Gordon E.
- 259-272 Valuation of structured risk management products
by Cox, Samuel H. & Fairchild, Joseph R. & Pedersen, Hal W.
- 273-295 Reset and withdrawal rights in dynamic fund protection
by Chu, Chi Chiu & Kwok, Yue Kuen
- 297-305 A Karamata-type theorem and ruin probabilities for an insurer investing proportionally in the stock market
by Grandits, Peter
- 307-320 Asymptotic results for perturbed risk processes with delayed claims
by Macci, Claudio & Torrisi, Giovanni Luca
February 2004, Volume 34, Issue 1
- 1-21 Quantification of automobile insurance liability: a Bayesian failure time approach
by Stephens, David A. & Crowder, Martin J. & Dellaportas, Petros
- 23-35 Modelling zeros in stochastic reserving models
by Kunkler, Michael
- 37-54 A seemingly unrelated regression model in a credibility framework
by Pitselis, Georgios
- 55-77 Pricing of arithmetic basket options by conditioning
by Deelstra, G. & Liinev, J. & Vanmaele, M.
- 79-95 Optimal pension management in a stochastic framework
by Battocchio, Paolo & Menoncin, Francesco
- 97-107 The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models
by Dickson, David C. M. & Drekic, Steve
- 109-120 Symbolic calculation of the moments of the time of ruin
by Drekic, Steve & Stafford, James E. & Willmot, Gordon E.
- 121-125 On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes
by Sun, Lijuan & Yang, Hailiang
December 2003, Volume 33, Issue 3
- 479-486 Some recursions for moments of n-fold convolutions
by Sundt, Bjorn
- 487-496 Some recursions for moments of compound distributions
by Sundt, Bjorn
- 497-516 Pricing equity-linked pure endowments via the principle of equivalent utility
by Moore, Kristen S. & Young, Virginia R.
- 517-532 Wang's capital allocation formula for elliptically contoured distributions
by Valdez, Emiliano A. & Chernih, Andrew
- 533-550 Moments of the cash value of future payment streams arising from life insurance contracts
by Debicka, Joanna
- 551-566 The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function
by Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve
- 567-584 Analysis of heterogeneous endowment policies portfolios under fractional approximations
by Dahan, Merav & Frostig, Esther & Langberg, Naftali A.
- 585-593 Semiparametric credibility ratemaking using a piecewise linear prior
by Huang, Xiaowei & Song, Lixin & Liang, Yanchun
- 595-609 Fair valuation of path-dependent participating life insurance contracts
by Tanskanen, Antti Juho & Lukkarinen, Jani
- 611-627 A stability result for the HARA class with stochastic interest rates
by Grasselli, Martino
- 629-644 Pricing of multi-period rate of return guarantees
by Lindset, Snorre
- 645-658 Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure
by de Kok, Ton G.
- 659-676 Recursive calculation of finite time ruin probabilities under interest force
by Cardoso, Rui M. R. & R. Waters, Howard
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