Recursive calculation of finite-time ruin probabilities
type: Item
instance of: scholarly article
title: Recursive calculation of finite-time ruin probabilities
zbMATH Open document ID: 0629.62101
DOI: 10.1016/0167-6687(88)90089-3
published in: Insurance Mathematics \& Economics
publication date: 1988-01-01T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 4024583
zbMATH Keywords: recursion algorithm
zbMATH Keywords: calculation of finite-time ruin probabilities
zbMATH Keywords: general discrete-time risk process model
zbMATH Keywords: approximations
zbMATH Keywords: risk model
author: Floriaen E. C. De Vylder
author: Marc J. Goovaerts
MaRDI profile type: Publication
full work available at URL: 0167-6687(88)90089-3
OpenAlex ID: W2017840708
cites work: Q5609896
description: scientific article; zbMATH DE number 4024583