Recursive calculation of finite-time ruin probabilities
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Publication:1094066
DOI10.1016/0167-6687(88)90089-3zbMath0629.62101OpenAlexW2017840708MaRDI QIDQ1094066
Marc J. Goovaerts, F. Etienne De Vylder
Publication date: 1988
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(88)90089-3
approximationsrisk modelrecursion algorithmcalculation of finite-time ruin probabilitiesgeneral discrete-time risk process model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)
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