Fourier/Laplace Transforms and Ruin Probabilities
نویسندگان
چکیده
منابع مشابه
Simple approximations of ruin probabilities
A “simple approximation” of a ruin probability is an approximation using only some moments of the claim distribution and not the detailed tail behaviour of that distribution. Such approximations may be based on limit theorems or on more or less ad hoc arguments. The most successful simple approximation is certainly the De Vylder approximation, which is based on the idea to replace the risk proc...
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Classical risk process models in insurance rely on independency. However, especially when modelling natural events, this assumption is very restrictive. This paper proposes a new approach to introducing dependency structures between events into the model and investigates its effects on a crucial parameter for insurance companies, the probability of ruin. Explicit formulas, numerical simulations...
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In this paper we consider a risk process in which claim inter-arrival times have an Erlang(2) distribution. We consider the in nite time survival probability as a compound geometric random variable and give expressions from which both the survival probability from initial surplus zero and the ladder height distribution can be calculated. We consider explicit solutions for the survival/ruin prob...
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Let C1, C2, . . . , Cm be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x+ct−C(t). The ruin probability is given by the well known Pollaczek-Hinchin formula. If ruin occurs, however, it will be caused by a jump of one of the subordinators whose sum constitutes C. Formulae for the probability that ruin is caused by Ci are...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2002
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.32.1.1017