Ruin Probabilities
โ Scribed by Dassios, Angelos
- Book ID
- 127138105
- Publisher
- American Statistical Association
- Year
- 2002
- Tongue
- English
- Weight
- 88 KB
- Volume
- 97
- Category
- Article
- ISSN
- 0162-1459
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
We consider a classical surplus process modified by the action of a constant force of interest. We derive recursive algorithms for the calculation of the probability of ruin in finite time. We also discuss the numerical evaluation of the probability of ultimate ruin using methods proposed by De Vyld
A "simple approximation" of a ruin probability is an approximation using only some moments of the claim distribution and not the detailed tail behaviour of that distribution. Such approximations may be based on limit theorems or on more or less ad hoc arguments. The most successful simple approximat