ERLANGIAN APPROXIMATIONS FOR FINITE-HORIZON RUIN PROBABILITIES BY SOREN ASMUSSEN 1, FLORIN AVRAM 2 AND MIGUEL USABEL … expiration, extrapolation, rmite time ruin probabilities, fluid model, phase- type distributions, semi-Markov embedding. 1 … ERLANGIAN APPROXIMATIONS FOR FINITE-HORIZON RUIN PROBABILITIES 269 ultimately (at least for constant premiums) this type of …

this distribution, in particular by using algorithms to calculate finite time ruin probabilities. We also discuss … finite and infinite time ruin probabilities, and of approximating the distribution of the time to ruin in the classical … time ruin probabilities. In particular, when the individual claim amount distribution is exponential, a formula exists …

on numerical procedures for calculating ruin probabilities \[see, for example, Dickson (1998)\]. Apart from purely …

FOURIER/LAPLACE TRANSFORMS AND RUIN PROBABILITIES BY FATIMA D.E LIMA 1, JORGE M.A. GARCIA 2 AND ALFREDO D. EGiDIO … approximations for reasonable values of the initial surplus. To show this we compute numerically ruin probabilities in the … this risk process is the unique positive FOURIER/LAPLACE TRANSFORMS AND RUIN PROBABILITIES 93 number R such that \[see …

ASMUSSEN, S. (2000) Ruin probabilities. Advanced Series on Statistical Science and Applied prob- ability 2, World Scientific …

algorithm is presented. This approach was designed to approximate ultimate ruin probabilities for G-convolutions claim sizes …ULTIMATE RUIN PROBABILITIES FOR GENERALIZED GAMMA-CONVOLUTIONS CLAIM SIZES BY M. USÁBEL Universidad Carlos III de … acceleration algorithm is presented. This approach was designed to approximate ultimate ruin probabilities for G-convolutions claim …

The standard methods for the calculation of total claim size distributions and ruin probabilities, Panjer recursion and … distributions and ruin probabilities, Panjer recursion and algorithms based on transfo,ms, both apply to lattice …. KEYWORDS AND PHRASES Total claim size distribution, ruin probabilities, discretization, acceleration of convergence. I …

important in connection with ruin probabilities; see Section 4 below. For general compound distributions )--~k=OPk -= 1 (Pk … in the context of risk theory, the calculation of ruin probabilities in the classical model with Poisson arrivals and … density function x ~ #((x, cx~))/mc. Ruin probabilities can be related to the distribution of the maximum of a random walk …

bounds for ruin probabilities.  … obtain the probability distribution for the ladder height distribution and use it to find the bounds for the ultimate ruin … probabilities for individual claim amount distributions. The method suggested by Dufresne and Gerber (1989) is used for finding the …