In this paper we propose a highly accurate approximation procedure for ruin probabilities in the classical collective risk model, which is based on a quadrature/rational approximation procedure proposed in [2]. For a certain class of claim size distributions (which contains the completely monotone d
✦ LIBER ✦
Complete monotonicity of the probability of ruin and de Finetti’s dividend problem
✍ Scribed by Hua Dong; Chuancun Yin
- Book ID
- 107347352
- Publisher
- Academy of Mathematics and Systems Science, Chinese Academy of Sciences
- Year
- 2012
- Tongue
- English
- Weight
- 173 KB
- Volume
- 25
- Category
- Article
- ISSN
- 1009-6124
No coin nor oath required. For personal study only.
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