Approximations for the probability of ruin within finite time
作者： Søren Asmussen
DOI: 10.1080/03461238.1984.10413752
关键词: Exponential function 、 Risk theory 、 Finite time 、 Applied mathematics 、 Heavy traffic approximation 、 Mathematics 、 Mathematical analysis 、 Diffusion (business) 、 First-hitting-time model 、 Poisson distribution
摘要: … to use a particular approximation but clearly some empirical … comparison (emphasizing the finite time problem) and next to … Section 5 deals with diffusion approximations. It is shown …
sci-hub.se 参考文章(37)
Torgny Lindvall, Weak convergence of probability measures and random functions in the function space D[0,∞) Journal of Applied Probability. ,vol. 10, pp. 109- 121 ,(1973) , 10.2307/3212499
J. F. C. Kingman, Jacques Neveu, Martingales à temps discret Journal of the Royal Statistical Society. Series A (General). ,vol. 136, pp. 624- 625 ,(1973) , 10.2307/2344758
lajos Takacs, Combinatorial Methods in the Theory of Stochastic Processes ,(1967)
C.-O. Segerdahl, When does ruin occur in the collective theory of risk Scandinavian Actuarial Journal. ,vol. 1955, pp. 22- 36 ,(1955) , 10.1080/03461238.1955.10414217
Jan Grandell, C.-O. Segerdahl, A comparison of some approximations of ruin probabilities Scandinavian Actuarial Journal. ,vol. 1971, pp. 143- 158 ,(1971) , 10.1080/03461238.1971.10404672
Ward Whitt, Some Useful Functions for Functional Limit Theorems Mathematics of Operations Research. ,vol. 5, pp. 67- 85 ,(1980) , 10.1287/MOOR.5.1.67
Bengt von Bahr, Ruin probabilities expressed in terms of ladder height distributions Scandinavian Actuarial Journal. ,vol. 1974, pp. 190- 204 ,(1974) , 10.1080/03461238.1974.10408681
Jozef L. Teugels, Estimation of ruin probabilities Insurance Mathematics & Economics. ,vol. 1, pp. 197- 211 ,(1982) , 10.1016/0167-6687(82)90010-5
John A Beekman, Newton L. Bowers, An approximation to the finite time ruin function Scandinavian Actuarial Journal. ,vol. 1972, pp. 41- 56 ,(1972) , 10.1080/03461238.1972.10404634
T. M. Williams, Stochastic Storage Processes : Queues, Insurance Risk and Dams ,(1981)