Two-sided bounds for the finite time probability of ruin

Scandinavian Actuarial Journal

Volumn 2000, Issue 1, 2000, Pages 46-62

  Ignatov, Z G ^a   Kaishev, V K ^b  

^a Bulgarian Academy of Sciences ^*  (Bulgaria)

^b INSTITUTE OF MATHEMATICS AND INFORMATICS   (Bulgaria)

Author keywords

Dirichlet distribution; Finite time ruin probability; Risk reser process; Splines

Indexed keywords

EID: 0013257066     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/034612300750066728     Document Type: Article

References (9)

1. Dahmen, W., Michelli, C. A. (1983). Recent progress in multivariate splines. In: Chui, C. K., Schumaker, L. L., Ward, T. D. (eds.), Approximation theory IV. Academic Press, New York.
2. Dahmen, W. & Michelli, C. A. (1986). Statistical encounters with B-splines. Contemporary Mathematics 59, 17-48.
3. Ignatov, Z. G. & Kaishev, V. K. (1985). B-splines and linear combinations of uniform order statistics. Math Research Cent. TSR. 2817, Univ. of Wisconsin, Madison.
4. Ignatov, Z. G. & Kaishev, V. K. (1987). Multivariate B-splines, analysis of contingency tables and serial correlation. In: Bauer et al. (eds.), Mathematical statistics and probability theory, vol. B. D. Reidel Publ. Co., pp. 125-137.
5. Ignatov, Z. G., Kaishev, V. K. (1988). Some properties of generalized B-splines. In: Proceedings of the conference on constructive theory of functions '87. Bulgarian Acadamy of Science Publishing Co., Sofia, pp. 233-241.
6. Ignatov, Z. G. & Kaishev, V. K. (1989). A probabilistic interpretation of multivariate B-splines and some applications. SERDICA Bulgaricae mathematicae publicationes, 15, 91-99.
7. Karlin, S., Michelli, C. & Rinott, Y. (1986). Multivariate splines: a probabilistic perspective. J. Multivariate Analysis 20 (N1), 69-90.
8. Picard, Ph. & Lefevre, C. (1997). The probability of ruin in finite time with discrete claim size distribution. Scand. Actuarial J. 1, 58-69.
9. Seal, H. (1969). Stochastic theory of risk business. Wiley, New York.