Stochastic successive approximation method for assessing the insolvency risk of an insurance company
type: Item
instance of: scholarly article
title: Stochastic successive approximation method for assessing the insolvency risk of an insurance company
zbMATH Open document ID: 1180.91008
author: B. V. Norkin
published in: Cybernetics and Systems Analysis
publication date: 2009-03-27T00:00:00Z
review text: In this paper, the Monte Carlo method of the successive approximation solution of the renewal equation describing the ruin probability of the classical compound Poisson risk model is studied. Uniform estimation of the convergence is given. The theoretic result is illustrated by a numerical example.
reviewed by: Gong Guanglu
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5534511
zbMATH Keywords: risk process
zbMATH Keywords: ruin probability
zbMATH Keywords: terminating renewal process
zbMATH Keywords: succesive approximation
zbMATH Keywords: Monte Carlo method
MaRDI profile type: Publication
full work available at URL: s10559-008-9065-1
OpenAlex ID: W2042269887
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DOI: 10.1007/S10559-008-9065-1
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description: scientific article; zbMATH DE number 5534511