A recursive evaluation of the finite time ruin probability based on a equation of Seal

DOI10.1016/0167-6687(91)90002-FzbMath0729.62627OpenAlexW2088889764MaRDI QIDQ806910

B. M. Kling, Marc J. Goovaerts

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0167-6687(91)90002-f

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

A note on the solution of practical ruin problems ⋮ Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model

Cites Work

• Recursive calculation of finite-time ruin probabilities
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