Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims

Autor: Hansjörg Albrecher, Eleni Vatamidou

Publikováno v: Risks, Vol 7, Iss 4, p 104 (2019)

We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek−Khintchine formula, and develop

Externí odkaz: https://doaj.org/article/a70577b8537542f0ba5606b23e740850

Explicit ruin formulas for models with dependence among risks

Autor: Stéphane Loisel, Hansjoerg Albrecher, Corina Constantinescu

Publikováno v: Insurance: Mathematics and Economics
Insurance: Mathematics and Economics, Elsevier, 2011, 48 (2), pp.265-270
HAL
Insurance: Mathematics & Economics, vol. 48, no. 2, pp. 265-270

International audience; We show that a simple mixing idea allows to establish a number of explicit formulas for ruin probabilities and related quantities in collective risk models with dependence among claim sizes and among claim inter-occurrence tim

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f82be9e23c90e3b208f0933e316104ea
https://doi.org/10.1016/j.insmatheco.2010.11.007

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