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Scandinavian Actuarial Journal Volume 2013, 2013 - Issue 5
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Articles

Sharp approximations of ruin probabilities in the discrete time models

Lesław Gajek Polish Financial Supervision Authority, Warsaw, Poland; Institute of Mathematics, Technical University of Łódź, Łódź, PolandCorrespondence[email protected]
&
Marcin Rudź Institute of Mathematics, Technical University of Łódź, Łódź, Poland; Institute of Mathematics Polish Academy of Sciences, Warsaw, Poland
Pages 352-382 | Accepted 24 Aug 2011, Published online: 25 Nov 2011

Citations (7)

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Lesław Gajek & Marcin Rudź. (2021) General methods for bounding multidimensional ruin probabilities in regime-switching models. Stochastics 93:5, pages 764-779.
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Articles from other publishers (6)

Ekaterina Bulinskaya & Boris Shigida. (2021) Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period. Methodology and Computing in Applied Probability 23:1, pages 103-121.
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Lesław Gajek & Marcin Rudź. (2020) Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model. Methodology and Computing in Applied Probability 22:4, pages 1507-1528.
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Lesław Gajek & Marcin Rudź. (2018) Finite-Horizon Ruin Probabilities in a Risk-Switching Sparre Andersen Model. Methodology and Computing in Applied Probability 22:4, pages 1493-1506.
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Lesław Gajek & Marcin Rudź. (2018) Deficit distributions at ruin in a regime-switching Sparre Andersen model. Journal of Applied Analysis 24:1, pages 99-107.
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Lesław Gajek & Marcin Rudź. (2018) Banach Contraction Principle and ruin probabilities in regime-switching models. Insurance: Mathematics and Economics 80, pages 45-53.
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Lesław Gajek & Marcin Rudź. (2017) A generalization of Gerber’s inequality for ruin probabilities in risk-switching models. Statistics & Probability Letters 129, pages 236-240.
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