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Dal'nevostochnyi Matematicheskii Zhurnal, 2004, Volume 5, Number 1, Pages 72–81 (Mi dvmg176)  

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
Full-text PDF (150 kB) Citations (2)
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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
Document Type: Article
UDC: 519.872
MSC: 60K25
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Skv04}
\by E.~S.~Skvarnik
\paper Numerical estimations of probability of the ruin in the classical model of the risk with constant interest in the case of heavy tails
\jour Dal'nevost. Mat. Zh.
\yr 2004
\vol 5
\issue 1
\pages 72--81
\mathnet{http://mi.mathnet.ru/dvmg176}
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  • https://www.mathnet.ru/eng/dvmg/v5/i1/p72
  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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