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Ruin probability with claim distribution depending on time

โœ Scribed by Christian Netzel


Book ID
112898274
Publisher
Springer-Verlag
Year
1982
Tongue
German
Weight
237 KB
Volume
15
Category
Article
ISSN
1864-0281

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On the efficient evaluation of ruin prob
โœ Hansjรถrg Albrecher; Florin Avram; Dominik Kortschak ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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