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Ruin Probabilities

โœ 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.


๐Ÿ“œ SIMILAR VOLUMES


Simulation of ruin probabilities
โœ P. Boogaert; A. De Waegenaere ๐Ÿ“‚ Article ๐Ÿ“… 1990 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 393 KB
Estimation of ruin probabilities
โœ Jozef L. Teugels ๐Ÿ“‚ Article ๐Ÿ“… 1982 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 731 KB
General bounds on ruin probabilities
โœ R. Kaas; M.J. Goovaerts ๐Ÿ“‚ Article ๐Ÿ“… 1986 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 198 KB
Ruin probabilities with compounding asse
โœ David C.M. Dickson; Howard R. Waters ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 99 KB

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

Simple approximations of ruin probabilit
โœ Jan Grandell ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 132 KB

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