Precise Estimates of Ruin Probabilities

• Autorzy: Marcin Rudź
• Języki publikacji: EN

Abstrakty

EN

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, accurately approximates ruin probabilities. A formula for ruin probabilities in the finite horizon is also proposed.(original abstract)

Słowa kluczowe

EN

Theory of risk; Probability; Statistics; Mathematical statistics

PL

Teoria ryzyka; Prawdopodobieństwo; Statystyka; Statystyka matematyczna

• Czasopismo: Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego
• Rocznik: 2015
• Tom: 16(XVI)
• Numer: nr 2
• Strony: 80--88

Twórcy

autor

Marcin Rudź

• Technical University of Łódź

Bibliografia

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