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Calculation of finite time ruin probabilities for some risk models

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  • Cardoso, Rui M.R.
  • Waters, Howard R.

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  • Cardoso, Rui M.R. & Waters, Howard R., 2005. "Calculation of finite time ruin probabilities for some risk models," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 197-215, October.
    • Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:197-215
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    References listed on IDEAS

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    1. Michaud, Frédéric, 1996. "Estimating the Probability of Ruin for Variable Premiums by Simulation," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 93-105, May.
    2. Albrecher, Hansjorg & Teugels, Jozef L. & Tichy, Robert F., 2001. "On a gamma series expansion for the time-dependent probability of collective ruin," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 345-355, December.
    3. Cardoso, Rui M. R. & R. Waters, Howard, 2003. "Recursive calculation of finite time ruin probabilities under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 659-676, December.
    4. J. Michael Harrison & Sidney I. Resnick, 1978. "The Recurrence Classification of Risk and Storage Processes," Mathematics of Operations Research, INFORMS, vol. 3(1), pages 57-66, February.
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    Cited by:

    1. Andreas Karathanasopoulos & Chia Chun Lo & Xiaorong Ma & Zhenjiang Qin, 2021. "Maintaining cost and ruin probability," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 759-793, August.

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