Approximation of the initial reserve for known ruin probabilities
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).
scientific article; zbMATH DE number 4005411
scientific article