Recursive calculation of time to ruin distributions
In this paper we present a different approach on Dickson and Waters [Astin Bulletin 21 (1991) 199] and De Vylder and Goovaerts [Insurance: Mathematics and Economics 7 (1988) 1] methods to approximate time to ruin probabilities. By means of Markov chain application we focus on the direct calculation...
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| Format: | article |
| Language: | eng |
| Published: |
2022
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| Online Access: | http://hdl.handle.net/10400.5/24664 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/24664 |