Recursive calculation of finite time ruin probabilities under interest force-Reference-Cited by-同舟云学术

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Recursive calculation of finite time ruin probabilities under interest force

Published:2003-12 Issue:3 Volume:33 Page:659-676
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Cardoso Rui M.R.,R. Waters Howard

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference14 articles.

1. On a gamma series expansion for the time-dependent probability of collective ruin;Albrecher;Insurance: Mathematics and Economics,2001

2. Macro-economic version of a classical formula in risk theory;Boogaert;Insurance: Mathematics and Economics,1990

3. Approximating the finite-time ruin probability under interest force;Brekelmans;Insurance: Mathematics and Economics,2001

4. Recursive calculation of time to ruin distributions;Cardoso;Insurance: Mathematics and Economics,2002

5. De Vylder, F.E., 1996. Advanced Risk Theory. Editions de l’Université de Bruxelles.

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Applications of artificial intelligence and machine learning in the financial services industry: A bibliometric review;Heliyon;2024-01

2. Inequalities on the ruin probability for light-tailed distributions with some restrictions;Communications in Statistics - Theory and Methods;2023-11-22

3. The finite element method: A high‐performing approach for computing the probability of ruin and solving other ruin‐related problems;Mathematical Methods in the Applied Sciences;2021-06-21

4. Markov chain approximations to scale functions of Lévy processes;Stochastic Processes and their Applications;2015-10

5. Computing survival probabilities based on stochastic differential models;Journal of Computational and Applied Mathematics;2015-03

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