What is the best approximation of ruin probability in infinite time?

被引:0
|
作者
Burnecki, K
Mista, P
Weron, A
机构
关键词
risk process; ruin probability; claim size distribution; Polaczeck-Khinchine formula;
D O I
暂无
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:428 / 428
页数:1
相关论文
共 50 条
  • [1] Robust estimator of the ruin probability in infinite time for heavy-tailed distributions
    Deme, El Hadji
    Slaoui, Yousri
    Kebe, Modou
    Manou-Abi, Solym
    STATISTICS, 2024, 58 (06) : 1401 - 1422
  • [2] POT-based estimator of the ruin probability in infinite time for loss models: An application to insurance risk
    Redhouane, Frihi
    Abdelaziz, Rassoul
    Ouldrouis, Hamid
    CHILEAN JOURNAL OF STATISTICS, 2022, 13 (02): : 201 - 220
  • [3] The probability of ruin in finite time
    Baltrünas A.
    Lithuanian Mathematical Journal, 1999, 39 (3) : 240 - 244
  • [4] An Improvement of the Approximation of the Ruin Probability in a Risk Process
    Lee, Hye Sun
    Choi, Seung Kyoung
    Lee, Eui Yong
    KOREAN JOURNAL OF APPLIED STATISTICS, 2009, 22 (05) : 937 - 942
  • [5] Approximations of the ruin probability in a discrete time risk model
    Santana, David J.
    Rincon, Luis
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2020, 7 (03): : 221 - 243
  • [6] Approximation for Ruin Probability in the Sparre Andersen Model with Interest
    Ji-yang Tan Xiang-qun Yang Department of Mathematics
    Acta Mathematicae Applicatae Sinica, 2006, (02) : 333 - 344
  • [7] Approximation for ruin probability in the Sparre Andersen model with interest
    Tan J.-Y.
    Yang X.-Q.
    Acta Mathematicae Applicatae Sinica, 2006, 22 (2) : 333 - 344
  • [8] BOUNDS FOR THE RUIN PROBABILITY OF A DISCRETE-TIME RISK PROCESS
    Diasparra, Maikol A.
    Romera, Rosario
    JOURNAL OF APPLIED PROBABILITY, 2009, 46 (01) : 99 - 112
  • [9] Approximation of the ruin probability using the scaled Laplace transform inversion
    Mnatsakanov, Robert M.
    Sarkisian, Khachatur
    Hakobyan, Artak
    APPLIED MATHEMATICS AND COMPUTATION, 2015, 268 : 717 - 727
  • [10] Ruin Probability in Linear Time Series Model
    张丽宏
    Tsinghua Science and Technology, 2005, (02) : 259 - 264