On a gamma series expansion for the time-dependent probability of collective ruin

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_CE9FB7267C20
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
On a gamma series expansion for the time-dependent probability of collective ruin
Périodique
Insurance: Mathematics and Economics
Auteur⸱e⸱s
Albrecher H., Teugels J., Tichy R.
ISSN
0167-6687
Statut éditorial
Publié
Date de publication
2001
Peer-reviewed
Oui
Volume
29
Numéro
3
Pages
345-355
Langue
anglais
Résumé
In the framework of the extended classical risk model with constant force of real interest i, we investigate when it is suitable to represent the probability of collective survival U(x, t) of an insurance company with initial capital x and time horizon t as a gamma series. Moreover, we derive exact analytical solutions for exponentially distributed claim sizes and integer values of lambda /i where lambda is the risk parameter. As a by-product we observe that numerical procedures for estimating U(x, t) are very accurate.
Mots-clé
Classical risk model, Ruin probability, Finite time interval, Real interest force
Web of science
Création de la notice
12/05/2009 11:03
Dernière modification de la notice
20/08/2019 15:49
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