The numerical solution of the Schmitter problems: Theory

The numerical solution of the Schmitter problems: Theory

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.

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Bibliographische Detailangaben
Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 1996-12, Vol.19 (1), p.1-18
Hauptverfasser: De Vylder, F., Marceau, E.
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Directional derivative
Economic models
Economic theory
Extremal problem
Insurance
Mathematical models
Optimization
Renewal equation
Risk
Risk theory
Ruin probability
Studies
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Beschreibung
Zusammenfassung: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.
ISSN:0167-6687
1873-5959
DOI:10.1016/S0167-6687(96)00002-9