Author:
Dickson David C. M.,Waters Howard R.
Abstract
AbstractIn this paper we present algorithms to calculate the probability and severity of ruin in both finite and infinite time for a discrete time risk model. We show how the algorithms can be applied to give approximate values for the same quantities in the classical continuous time risk model.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference8 articles.
1. Recursive Evaluation of a Family of Compound Distributions
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