Recursive calculation of time to ruin distributions.
type: Item
instance of: scholarly article
title: Recursive calculation of time to ruin distributions.
zbMATH Open document ID: 1074.91545
DOI: 10.1016/S0167-6687(02)00102-6
author: Rui M. R. Cardoso
author: A. D. E. dos Reis
published in: Insurance Mathematics \& Economics
publication date: 2003-11-16T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2004016
zbMATH Keywords: Probability of ruin
zbMATH Keywords: Time to ruin
zbMATH Keywords: Barrier problems
zbMATH Keywords: Finite time
zbMATH Keywords: Discrete time model
zbMATH Keywords: Recursive calculation
zbMATH Keywords: Markov chain
MaRDI profile type: Publication
cites work: Recursive calculation of finite-time ruin probabilities
cites work: Approximations to ruin probability in the presence of an upper absorbing barrier
full work available at URL: s0167-6687(02)00102-6
OpenAlex ID: W2097598422
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description: scientific article; zbMATH DE number 2004016