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Control of ruin probabilities by discrete-time investments

✍ Scribed by Manfred Schäl


Book ID
105857315
Publisher
Springer
Year
2005
Tongue
English
Weight
185 KB
Volume
62
Category
Article
ISSN
0340-9422

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Bayesian estimation of finite time ruin
✍ M. Concepcion Ausin; Michael P. Wiper; Rosa E. Lillo 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 282 KB

## Abstract In this paper, we consider Bayesian inference and estimation of finite time ruin probabilities for the Sparre Andersen risk model. The dense family of Coxian distributions is considered for the approximation of both the inter‐claim time and claim size distributions. We illustrate that t