A note on the solution of practical ruin problems

DOI10.1016/0167-6687(94)90793-5zbMATH Open0818.62094OpenAlexW2052733438MaRDI QIDQ1892991

F. Etienne De Vylder, Marc J. Goovaerts

Publication date: 3 July 1995

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)90793-5

zbMATH Keywords

algorithminterestdividendsruin problemsseverity loadings

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• A recursive evaluation of the finite time ruin probability based on a equation of Seal
• Recursive calculation of finite-time ruin probabilities

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