Numerical calculation of the Cramér-Lundberg approximation

DOI10.1080/03461238.1989.10413861zbMath0679.62095OpenAlexW1996540375MaRDI QIDQ4729223

Stig I. Rosenlund

Publication date: 1989

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1989.10413861

zbMATH Keywords

algorithmPoisson processclassical risk processnumerical estimationCramér- Lundberg approximation of the ruin probability

Mathematics Subject Classification ID

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

Cites Work

• Empirical bounds for ruin probabilities
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