Calculation of Ruin Probabilities when the Claim Distribution is Lognormal
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- Grandell, Jan, 2000. "Simple approximations of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 157-173, May.
- Søren Asmussen & Jens Ledet Jensen & Leonardo Rojas-Nandayapa, 2016. "Exponential Family Techniques for the Lognormal Left Tail," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(3), pages 774-787, September.
- Baltru-nas, Aleksandras, 2005. "Second order behaviour of ruin probabilities in the case of large claims," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 485-498, June.
- Leipus, Remigijus & Siaulys, Jonas, 2007. "Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 498-508, May.
- Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
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