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Recursive calculation of finite time ruin probabilities under interest force

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

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  • 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.
    • Handle: RePEc:eee:insuma:v:33:y:2003:i:3:p:659-676
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    References listed on IDEAS

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    1. Sundt, Bjorn & Teugels, Jozef L., 1995. "Ruin estimates under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 7-22, April.
    2. 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.
    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.
    4. Brekelmans, Ruud & De Waegenaere, Anja, 2001. "Approximating the finite-time ruin probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 217-229, October.
    5. 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.
    6. Cardoso, Rui M. R. & Egidio dos Reis, Alfredo D., 2002. "Recursive calculation of time to ruin distributions," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 219-230, April.
    7. 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.
    8. Dickson, David C. M. & Waters, Howard R., 1991. "Recursive Calculation of Survival Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 199-221, November.
    9. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    Cited by:

    1. Mijatović, Aleksandar & Vidmar, Matija & Jacka, Saul, 2015. "Markov chain approximations to scale functions of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(10), pages 3932-3957.
    2. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
    3. Jostein Paulsen, 2008. "Ruin models with investment income," Papers 0806.4125, arXiv.org, revised Dec 2008.
    4. 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.
    5. Paulsen, Jostein & Kasozi, Juma & Steigen, Andreas, 2005. "A numerical method to find the probability of ultimate ruin in the classical risk model with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 399-420, June.

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