A Fourier-cosine method for finite-time ruin probabilities

2021 ◽  
Vol 99 ◽  
pp. 256-267
Author(s):  
Wing Yan Lee ◽  
Xiaolong Li ◽  
Fangda Liu ◽  
Yifan Shi ◽  
Sheung Chi Phillip Yam
Keyword(s):  
Finite Time ◽  
Ruin Probabilities ◽  
Fourier Cosine

Uniform estimate on finite time ruin probabilities with random interest rate

2010 ◽  
Vol 30 (3) ◽  
pp. 688-700 ◽  
Author(s):  
Ming Ruixing ◽  
He Xiaoxia ◽  
Hu Yijun ◽  
Liu Juan
Keyword(s):  
Interest Rate ◽  
Finite Time ◽  
Uniform Estimate ◽  
Ruin Probabilities

On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims

2014 ◽  
Vol 51 (03) ◽  
pp. 874-879 ◽  
Author(s):  
C. Y. Robert
Keyword(s):  
Open Problem ◽  
Finite Time ◽  
Ruin Probability ◽  
Risk Model ◽  
Ruin Probabilities ◽  
Ruin Theory ◽  
Finite Time Ruin Probability

In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.

Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions

2021 ◽  
Vol 43 (3) ◽  
pp. B650-B677
Author(s):  
Xiaolong Li ◽  
Yifan Shi ◽  
Sheung Chi Phillip Yam ◽  
Hailiang Yang
Keyword(s):  
Finite Time ◽  
Fourier Cosine
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