The aggregate claims are modeled as a compound binomial process, and the individual claim amounts are integer-valued. We study f(x, y; u), the "discounted" probability of ruin for an initial surplus u, such that the surplus just before ruin is x and the deficit at ruin is y. This function can be use
โฆ LIBER โฆ
Ruin theory in the linear model
โ Scribed by Hans U. Gerber
- Book ID
- 107918805
- Publisher
- Elsevier Science
- Year
- 1982
- Tongue
- English
- Weight
- 455 KB
- Volume
- 1
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
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In the past few decades, methods of linear algebra have become central to economic analysis, replacing older tools such as the calculus. David Gale has provided the first complete and lucid treatment of important topics in mathematical economics which can be analyzed by linear models. This self-cont