The Probability and Severity of Ruin in Finite and Infinite Time
In this paper we present algorithms to calculate the probability and severity of ruin in both finite and infinite time for a discrete time risk model. We show how the algorithms can be applied to give approximate values for the same quantities in the classical continuous time risk model.
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| Veröffentlicht in: | ASTIN Bulletin : The Journal of the IAA 1992-11, Vol.22 (2), p.177-190 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | In this paper we present algorithms to calculate the probability and severity of ruin in both finite and infinite time for a discrete time risk model. We show how the algorithms can be applied to give approximate values for the same quantities in the classical continuous time risk model. |
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| ISSN: | 0515-0361 1783-1350 |
| DOI: | 10.2143/AST.22.2.2005114 |