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On the numerical evaluation of the ultimate ruin probability

✍ Scribed by Erhard Kremer


Book ID
112898542
Publisher
Springer-Verlag
Year
1989
Tongue
German
Weight
376 KB
Volume
19
Category
Article
ISSN
1864-0281

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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