Recursive calculation of finite-time ruin probabilities
We develop a simple algorithm for the numerical calculation of finite- time ruin probabilities in a general discrete-time risk process model. These probabilities can be used for the calculation of approximations for the finite-time ruin probabilities in the classical actuarial risk model.
calculation of finite-time ruin probabilities
general discrete-time risk process model
scientific article; zbMATH DE number 4024583