PRECISE ESTIMATES OF RUIN PROBABILITIES
In this paper we investigate a sequence of accurate approximations of ruin probabilities in discrete time models. We prove its convergence to the exact ruin probability without any restrictive assumptions on the claim distribution. Numerical studies show that the sequence, from the first term on, ac...
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| Autor principal: | |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Wydawnictwo SGGW - Warsaw University of Life Sciences Press
2015-06-01
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| coleção: | Quantitative Methods in Economics |
| Assuntos: | |
| Acesso em linha: | https://qme.sggw.edu.pl/article/view/3770 |
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