Calculation of the probability of eventual ruin by Beekman's convolution series (Q1115077)
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scientific article; zbMATH DE number 4086840
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calculation of the probability of eventual ruin by Beekman's convolution series |
scientific article; zbMATH DE number 4086840 |
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Calculation of the probability of eventual ruin by Beekman's convolution series (English)
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1988
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This paper presents an algorithm for evaluating the probability of eventual ruin in a collective risk model. The method is based on Beekman's convolution series [see \textit{J. A. Beekman}, Premium calculation in insurance, NATO ASI Ser., Ser. C 121, 19-30 (1984; Zbl 0538.62089)] for the ruin probability. It is assumed that the claim number process is Poisson and the individual claim amounts take on integer values only.
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Poisson claim number process
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collective risk model
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Beekman's convolution series
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ruin probability
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