Approximation of the initial reserve for known ruin probabilities
type: Item
instance of: scholarly article
title: Approximation of the initial reserve for known ruin probabilities
zbMATH Open document ID: 0619.62099
DOI: 10.1016/0167-6687(86)90031-4
author: Edward W. Frees
published in: Insurance Mathematics \& Economics
publication date: 1986-01-01T00:00:00Z
review text: This paper estimates the initial reserve necessary to achieve a given probability of ruin within a finite time period. Three models for the net liability process are considered: Compound Poisson, ARMA and Stochastic discounting. A less technical version of this paper can be found in the Record of the Society of Actuaries 12, 2533-2543 (1986).
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62L20
zbMATH DE Number: 4005411
zbMATH Keywords: approximation of the initial reverse
zbMATH Keywords: known ruin probabilities
zbMATH Keywords: risk theory
zbMATH Keywords: finite time
zbMATH Keywords: quantile estimation
zbMATH Keywords: kernel estimation
zbMATH Keywords: net liability process
zbMATH Keywords: Compound Poisson
zbMATH Keywords: ARMA
zbMATH Keywords: Stochastic discounting
reviewed by: E. S. W. Shiu
MaRDI profile type: Publication
full work available at URL: 0167-6687(86)90031-4
OpenAlex ID: W2088039916
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description: scientific article; zbMATH DE number 4005411