A review of the numerical calculation of ruin probabilities by means of recursions

A. Steenackers and Marc Goovaerts

Applied Stochastic Models and Data Analysis, 1991, vol. 7, issue 1, 77-91

Abstract: In this review we consider the classical model for ruin probabilities describing the danger of an insurance portfolio. We give a description of the existing recursive methods for calculating ruin probabilities both with finite and infinite planning horizons.

Date: 1991
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https://doi.org/10.1002/asm.3150070108

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:7:y:1991:i:1:p:77-91

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