Ruin probabilities

By Søren Asmussen. Advanced Series on Statistical Science & Applied Probability, 2001

1,093 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Safety, Risk, Reliability and Quality

View Paper: https://www.semanticscholar.org/paper/859d645406258a4e9e8f140e034dbbda33c8acbc

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In Management Science and Operations Research

In Safety, Risk, Reliability and Quality

Citations in the corpus

Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010, background): “Phase-type distribution (see [1]) can be defined as the distribution of the first passage time of a finite state continuous time Markov chain.”
A ruin model with dependence between claim sizes and claim intervals (2004, methodology): “Asmussen [4]) and we obtain φind(x) = 1− 0.”
Ruin probabilities and aggregrate claims distributions for shot noise Cox processes (2006, neutral): “…X (x) m l̃mX̃ F I X (x) F I X (x) ; for the last equality, note that mX̃ l l̃ mX rE H( ;Y ) l̃ mX m l̃ : Finally, letting r̃ l̃mX̃=c m=c; we have by standard theory (Asmussen, 2000:259 or Embrechts et al ., 1997:43) that c̃(u) r̃ 1 r̃ F I X̃ (x) m c m F I X (u): I Proof of Theorem 5.2: We first…”
On the ruin time distribution for a Sparre Andersen process with exponential claim sizes (2007, background): “See, for example, [2], [8] and [9] for different solutions to this problem.”
The compound Poisson risk model with a threshold dividend strategy (2006, result): “As will be seen in later sections, several results in Asmussen (2000) and Gerber and Shiu (2005a) are special cases.”
Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims (2013, methodology): “Thus, the conditions in Asmussen and Albrecher (2010) do not apply here.”
On the joint distribution of surplus before and after ruin under a Markovian regime switching model (2006, methodology): “As in Asmussen [2], let fmxgxX0 be the M-value process obtained by observing fJtg only when fStg is at a minimum.”