A collective risk comparative study (Q1082026)
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scientific article; zbMATH DE number 3972046
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A collective risk comparative study |
scientific article; zbMATH DE number 3972046 |
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A collective risk comparative study (English)
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1987
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Infinite time ruin probabilities are computed by the convolution method, the incomplete gamma function method, and an inverse Gaussian method for a real-life example involving data from 24,000 life insurance policies. Some analysis of the methods, and computational suggestions are included.
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collective risk comparative study
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compound Poisson process
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Infinite time ruin probabilities
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convolution method
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incomplete gamma function method
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inverse Gaussian method
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real-life example
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