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The numerical solution of the Schmitter problems: Theory

โœ Scribed by F. De Vylder; E. Marceau

Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
841 KB
Volume
19
Category
Article
ISSN
0167-6687

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โœฆ Synopsis

The numerical solution of the Schmitter problems is based on a renewal equation in a discretization of the classical risk model, on a general optimization algorithm of functions on convex spaces, and on the introduction of directional derivatives in the risk model.

๐Ÿ“œ SIMILAR VOLUMES

The solution of Schmitter's simple probl
The solution of Schmitter's simple problem: Numerical illustration
โœ F. De Vylder; M. Goovaerts; E. Marceau ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 826 KB

Numerical illustrations are given of the technique to solve Schmitter's problem proposed in De Vylder and Marceau (1996).

The Schmitter problem.
The Schmitter problem.
โœ P. Brockett; M. Goovaerts; G. Taylor ๐Ÿ“‚ Article ๐Ÿ“… 1993 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 100 KB
The bi-atomic uniform minimal solution o
The bi-atomic uniform minimal solution of Schmitter's problem
โœ F. De Vylder; M. Goovaerts; E. Marceau ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 664 KB

The problem posed by Schmitter was to maximize the ruin probability when mean and variance of the claim size distribution are given. In this note we prove that the minimal ruin probability is given by the bi-atomic distribution with the maximal possible claim size as one of its mass points. A by-pro