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Dal'nevostochnyi Matematicheskii Zhurnal, 2004, Volume 5, Number 1, Pages 72–81
(Mi dvmg176)
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This article is cited in 2 scientific papers (total in 2 papers)
Numerical estimations of probability of the ruin in the classical model of the risk with constant interest in the case of heavy tails
E. S. Skvarnik Institute of Applied Mathematics, Far-Eastern Branch of the Russian Academy of Sciences
Abstract:
Classical risk model under constant interest is considered. Fast algorithms of its ruin probability calculation are suggested. Large differences between accuracy numerical meanings of ruin probabiity and its asymptotic are established for mean values of initial capital.
Key words:
classical risk model, ruin probability, constant interest force.
Received: 15.05.2003
Citation:
E. S. Skvarnik, “Numerical estimations of probability of the ruin in the classical model of the risk with constant interest in the case of heavy tails”, Dal'nevost. Mat. Zh., 5:1 (2004), 72–81
Linking options:
https://www.mathnet.ru/eng/dvmg176 https://www.mathnet.ru/eng/dvmg/v5/i1/p72
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