Recursive calculation of finite-time ruin probabilities (Q1094066)
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scientific article; zbMATH DE number 4024583
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Recursive calculation of finite-time ruin probabilities |
scientific article; zbMATH DE number 4024583 |
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Recursive calculation of finite-time ruin probabilities (English)
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1988
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We develop a simple algorithm for the numerical calculation of finite- time ruin probabilities in a general discrete-time risk process model. These probabilities can be used for the calculation of approximations for the finite-time ruin probabilities in the classical actuarial risk model.
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recursion algorithm
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calculation of finite-time ruin probabilities
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general discrete-time risk process model
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approximations
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risk model
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