Explicit Solutions for Survival Probabilities in the Classical Risk Model

ASTIN Bulletin

Volumn 35, Issue 1, 2005, Pages 113-130

  Garcia, Jorge M a ^a  

^a UNIVERSITY OF LISBON   (Portugal)

Author keywords

Classical risk model; double Laplace transform; Ruin probabilities; Time to ruin

Indexed keywords

EID: 85011452729     PISSN: 05150361     EISSN: 17831350     Source Type: Journal    
DOI: 10.1017/S0515036100014082     Document Type: Article

References (10)

1. Dickson, D.C.M. and Hipp, C. (2001) On the time to ruin for Erlang(2) risk processes: Insurance: Mathematics and Economics, 29, 333–344.
2. Dickson, D.C.M., Hughes, B.D. and Lianzeng, Z. (2003) The Density of the Time to Ruin for a Sparre Andersen Process with Erlang Arrivals and Exponential Claims. University of Melbourne, Research Papers Series No 111.
3. Dickson, D.C.M. and Willmot, G.E. (2004) The density of the time to ruin in the classical Poisson risk model. University of Melbourne, Research Papers Series No 115.
4. Drekic, S. and Willmot, G.E. (2003) On the Density and Moments of the Time of Ruin with Exponential Claims. Astin Bulletin, 33.
5. Garcia, J.M.A. (1999) Other properties of the cosine transform. Cemapre working paper, ISEG, Technical University of Lisbon.
6. Gerber, H.U. (1979) An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation Monograph series No.8. Irwin, Homewood, IL.
7. Gerber, H.U. and Shiu, E.S.W. (1998) On the time value of ruin. North American Actuarial Journal, 2, 48–78.
8. Marsden, J.E. and Hoffman, M.J. (1999) Basic complex analysis. W.H. Freeman, New York.
9. Lima, F.D.P., Garcia, J.M.A. and Egidio Reis, A.D. (2002) Fourier/Laplace transforms and ruin probabilities. Astin Bulletin, 32(1), 91–105.
10. Poularikas, A.D. (1996) The Transforms and Applications Handbook, CRC Press.