An Improved Finite-Time Ruin Probability Formula and Its Mathematica Implementation

By Z. Ignatov, Vladimir K. Kaishev, Rossen S. Krachunov. 2001

50 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/ababfbaad629e0e23b09d2cb8baed0dcfba12d71

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Vladimir K. Kaishev
2. Qihe Tang
3. Dingcheng Wang
4. Yiqing Chen
5. Jostein Paulsen
6. Alexandru V. Asimit
7. Andrei L. Badescu
8. G. Tsitsiashvili

In Finance

1. Vladimir K. Kaishev
2. Qihe Tang
3. Yiqing Chen
4. Dingcheng Wang
5. Kai Wang Ng
6. Yuebao Wang
7. Kam Chuen Yuen
8. Alexandru V. Asimit

In Management Science and Operations Research

1. Vladimir K. Kaishev
2. Qihe Tang
3. Yiqing Chen
4. Dingcheng Wang
5. Kai Wang Ng
6. Kam Chuen Yuen
7. Jostein Paulsen
8. Alexandru V. Asimit

Citations in the corpus

• Optimal retention levels, given the joint survival of cedent and reinsurer (2004, methodology): “Its probability of ruin (survival) up to a finite horizon is then given by the improved version of the Ignatov and Kaishev’s formula (see Ignatov et al., 2001a), assuming individual claims have Poisson arrivals and their severities have any discrete joint distribution.”
• Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation (2004, background): “See also Ignatov et al.[17], who further improved the formula to be more convenient for numerical evaluations.”
• A finite-time ruin probability formula for continuous claim severities (2004, background): “…formula for the probability of nonruin in finite time for the same model as considered here, but assuming that the claim amount random variables W1,W2, . . . have any discrete joint distribution, has been recently obtained by Ignatov and Kaishev (2000) and improved by Ignatov et al. (2001).”