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On the probability of ruin for infinitely divisible claim amount distributions

✍ Scribed by Hans U. Gerber


Book ID
107918905
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
312 KB
Volume
11
Category
Article
ISSN
0167-6687

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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