Classical numerical ruin probabilities

F. De Vylder and E. Marceau

Scandinavian Actuarial Journal, 1996, vol. 1996, issue 2, 109-123

Abstract: Finite and infinite-time classical ruin probabilities can be approximated in Gerber's elementary binomial risk model. In order to obtain good results, rather fine discretizations may be necessary and then the computing times may be much too long. Here we show how rather rough discretizations provide approximations of excellent quality when a new claimsize distribution (with one negative probability mass!!!) is adopted and when a new security loading is introduced.

Date: 1996
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.1996.10413967 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:1996:y:1996:i:2:p:109-123

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.1996.10413967

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().