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Approximating the finite-time ruin probability under interest force

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Brekelmans, Ruud
De Waegenaere, Anja

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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 29 (2001)
Issue (Month): 2 (October)
Pages: 217-229
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Handle: RePEc:eee:insuma:v:29:y:2001:i:2:p:217-229

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Boogaert, P. & Haezendonck, J., 1989. "Delay in claim settlement," Insurance: Mathematics and Economics, Elsevier, vol. 8(4), pages 321-330, December. [Downloadable!] (restricted)
  2. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April. [Downloadable!] (restricted)
  3. Boogaert, P. & De Waegenaere, A., 1990. "Macro-economic version of a classical formula in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 155-162, September. [Downloadable!] (restricted)
  4. De Vylder, F. & Goovaerts, M. J., 1988. "Recursive calculation of finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 1-7, January. [Downloadable!] (restricted)
  5. Paulsen, Jostein, 1998. "Ruin theory with compounding assets -- a survey," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 3-16, May. [Downloadable!] (restricted)
  6. Dickson, David C. M. & Waters, Howard R., 1999. "Ruin probabilities with compounding assets," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 49-62, September. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jostein Paulsen, 2008. "Ruin models with investment income," Quantitative Finance Papers 0806.4125, arXiv.org, revised Dec 2008. [Downloadable!]
  2. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791_v1, HAL. [Downloadable!]
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