Explicit finite-time and infinite-time ruin probabilities in the continuous case
β Scribed by F.Etienne De Vylder; Marc J. Goovaerts
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 128 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0167-6687
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π SIMILAR VOLUMES
## Abstract In this paper we study the tail behaviour of the probability of ruin within finite time __t__, as initial risk reserve __x__ tends to infinity, for the renewal risk model with strongly subexponential claim sizes. The asymptotic formula holds uniformly for __t__β[__f__(__x__), β), where
&-error estimates are computed for mixed finite-element methods for second-order quasilinear (and linear, variable coefficient) parabolic equations. Results are given for the continuous-time case. The convergence of the values for both the scalar function and the flux is demonstrated. The technique