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Ruin probabilities based at claim instants for some non-Poisson claim processes

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  • Stanford, David A.
  • Stroinski, Krzysztof J.
  • Lee, Karen

Abstract

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Suggested Citation

  • Stanford, David A. & Stroinski, Krzysztof J. & Lee, Karen, 2000. "Ruin probabilities based at claim instants for some non-Poisson claim processes," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 251-267, May.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:2-3:p:251-267
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    References listed on IDEAS

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    1. repec:cup:astinb:v:25:y:1995:i:01:p:49-66_00 is not listed on IDEAS
    2. repec:cup:astinb:v:15:y:1985:i:02:p:73-88_00 is not listed on IDEAS
    3. repec:cup:astinb:v:17:y:1987:i:02:p:151-163_00 is not listed on IDEAS
    4. Shiu, Elias S. W., 1988. "Calculation of the probability of eventual ruin by Beekman's convolution series," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 41-47, January.
    5. 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.
    6. repec:cup:astinb:v:21:y:1991:i:02:p:199-221_00 is not listed on IDEAS
    7. repec:cup:astinb:v:13:y:1982:i:02:p:99-114_00 is not listed on IDEAS
    8. Garrido, Jose, 1988. "Diffusion premiums for claim severities subject to inflation," Insurance: Mathematics and Economics, Elsevier, vol. 7(2), pages 123-129, April.
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    Citations

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    Cited by:

    1. Yi Lu, 2016. "On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 237-255, March.
    2. Landriault, David & Shi, Tianxiang & Willmot, Gordon E., 2011. "Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 371-379.
    3. Gong, Lan & Badescu, Andrei L. & Cheung, Eric C.K., 2012. "Recursive methods for a multi-dimensional risk process with common shocks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 109-120.
    4. Avram, Florin & Usabel, Miguel, 2003. "Finite time ruin probabilities with one Laplace inversion," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 371-377, July.
    5. Li, Jingchao & Dickson, David C.M. & Li, Shuanming, 2015. "Some ruin problems for the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 1-8.
    6. Søren Asmussen & Patrick J. Laub & Hailiang Yang, 2019. "Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits," Risks, MDPI, vol. 7(1), pages 1-22, February.
    7. Egidio dos Reis, Alfredo D., 2002. "How many claims does it take to get ruined and recovered?," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 235-248, October.

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