The Probability and Severity of Ruin in Finite and Infinite Time

David C. M. Dickson and Howard R. Waters

ASTIN Bulletin, 1992, vol. 22, issue 2, 177-190

Abstract: In 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.

Date: 1992
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