Calculation of finite time ruin probabilities for some risk models

Insurance: Mathematics and Economics

Volumn 37, Issue 2 SPEC. ISS., 2005, Pages 197-215

  Cardoso, Rui M R ^a,b   Waters, Howard R ^b  

^a UNIVERSIDADE NOVA DE LISBOA   (Portugal)

^b HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

Markov chains; Numerical algorithms; Ruin probability

Indexed keywords

EID: 26844500311     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.11.005     Document Type: Article

References (15)

1. H. Albrecher J.L. Teugels R.F. Tichy On a gamma series expansion for the time-dependent probability of collective ruin Insurance Math. Econ. 29 2001 345-355
2. S. Asmussen S.S. Petersen Ruin probabilities expressed in terms of storage processes Adv. Appl. Probability 20 4 1988 913-916
3. Cardoso, R.M.R., 2004. Numerical algorithms for the calculation of finite time ruin probabilities in generalisations of the classical risk model. Ph.D. thesis, Heriot-Watt University. Available at http://www.ma.hw.ac.uk/~andrewc/actuarial/#papers.
4. R.M.R. Cardoso H.R. Waters Recursive calculation of finite time ruin probabilities under interest force Insurance Math. Econ. 33 3 2003 659-676
5. A. Davidson On the ruin problem in the collective theory of risk under the assumption of variable safety loading Skandinavisk Aktuarietidskrift Suppl. 1969 70-83
6. D.C.M. Dickson The probability of ultimate ruin with a variable premium loading - a special case Scand. Actuarial J. 1 1991 75-86
7. P. Embrechts H. Schmidli Ruin estimation for a general insurance risk model Adv. Appl. Probability 26 2 1994 404-422
8. H.U. Gerber Der Einfluss von Zins auf die Ruinwahrscheinlichkeit Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker 71 1971 63-70
9. J.M. Harrison S.I. Resnick The recurrence classification of risk and storage processes Math. Operations Res. 3 1 1978 57-66
10. F. Michaud Estimating the probability of ruin for variable premiums by simulation Astin Bull. 26 1 1996 93-105
11. S.S. Petersen Calculation of ruin probabilities when the premium depends on the current reserve Scand. Actuarial J. 3 1989 147-159
12. H. Schmidli Corrected diffusion approximations for a risk process with the possibility of borrowing and investment Schweizerische Vereinigung der Versicherungsmathematiker. Mitteilungen 1 1994 71-82
13. H. Schmidli Diffusion approximations for a risk process with the possibility of borrowing and investment Commun. Stat. Stochastic Models 10 2 1994 365-388
14. G.C. Taylor Probability of ruin with variable premium rate Scand. Actuarial J. 2 1980 57-76
15. H. Yang L. Zhang Ruin theory with interest incomes: Statistics and Finance (Hong Kong, 1999) 2000 Imperial College Press London pp. 355-369