On a class of renewal risk processes

North American Actuarial Journal

Volumn 2, Issue 3, 1998, Pages 60-68

  Dickson, David C M ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85011195853     PISSN: 10920277     EISSN: None     Source Type: Journal    
DOI: 10.1080/10920277.1998.10595723     Document Type: Article

References (11)

1. Asmussen, S., and Rolski, T. 1991. “Computational Methods in Risk Theory: A Matrix-Alǵorithmic Approach,” Insurance: Mathematics and Economics 10:259–74.
2. Cox, D.R. 1962. Renewal Theory. London: Methuen & Co. Ltd.
3. Dickson, D.C.M., and Gray, J.R. 1984. “Approximations to Ruin Probability in the Presence of an Upper Absorbinǵ Barrier,” Scandinavian Actuarial Journal, 105–115.
4. Dickson, D.C.M., and Hipp, C. 1997. “Ruin Probabilities for Erlanǵ (2) Risk Processes,” Workinǵ Paper No. 147. Copenhaǵen, Denmark: University of Copenhaǵen, Laboratory of Actuarial Mathematics.
5. Gerber, H.U. 1979. An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation Monoǵraph Series No. 8. Homewood, Ill.: R. Irwin.
6. Gerber, H.U., Goovaerts, M.J., and Kaas, R. 1987. “On the Probability and Severity of Ruin,” ASTIN Bulletin 17, 151–53.
7. Panjer, H.H., and Doray, L.G. 1988. Further Results on the Probability of Ruin with an Absorbinǵ Upper Barrier,” Transactions of the XXIII International Conǵress of Actuaries, 257–67.
8. Picard, P. 1994. “On Some Measures of the Severity of Ruin in the Classical Poisson Model,” Insurance: Mathematics and Economics 14:107–115.
9. Sparre Andersen, E. 1957. “On the Collective Theory of Risk in the Case of Contaǵion between the Claims,” Transactions of the XV International Conǵress of Actuaries 2: 219–29.
10. TakáCs, L. 1962. Introduction to the Theory of Queues. New York: Oxford University Press.
11. Thorin, O. 1982. “Probabilities of Ruin,” Scandinavian Actuarial Journal, 65–102.