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On the distribution of the claim causing ruin

✍ Scribed by David C.M. Dickson


Book ID
107918920
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
672 KB
Volume
12
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


On the efficient evaluation of ruin prob
✍ HansjΓΆrg Albrecher; Florin Avram; Dominik Kortschak πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 765 KB

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