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Non-Poissonian claims' arrivals and calculation of the probability of ruin

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  • Malinovskii, Vsevolod K.

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  • Malinovskii, Vsevolod K., 1998. "Non-Poissonian claims' arrivals and calculation of the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 123-138, June.
    • Handle: RePEc:eee:insuma:v:22:y:1998:i:2:p:123-138
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    References listed on IDEAS

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    1. repec:cup:astinb:v:6:y:1971:i:01:p:54-65_00 is not listed on IDEAS
    2. repec:cup:astinb:v:7:y:1973:i:02:p:137-153_00 is not listed on IDEAS
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    Cited by:

    1. Malinovskii, Vsevolod K. & Kosova, Ksenia O., 2014. "Simulation analysis of ruin capital in Sparre Andersen’s model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 184-193.
    2. Arthur Charpentier, 2010. "Reinsurance, ruin and solvency issues: some pitfalls," Working Papers hal-00463381, HAL.
    3. Willmot, Gordon E., 2007. "On the discounted penalty function in the renewal risk model with general interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 17-31, July.
    4. Malinovskii, Vsevolod K., 2008. "Adaptive control strategies and dependence of finite time ruin on the premium loading," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 81-94, February.
    5. Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    6. Borovkov, Konstantin A. & Dickson, David C.M., 2008. "On the ruin time distribution for a Sparre Andersen process with exponential claim sizes," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1104-1108, June.
    7. Malinovskii, Vsevolod K., 2012. "Equitable solvent controls in a multi-period game model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 599-616.
    8. Vsevolod Malinovskii, 2020. "Value-at-Risk substitute for non-ruin capital is fallacious and redundant," Papers 2005.05428, arXiv.org.

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