Calculating continuous time ruin probabilities for a large portfolio with varying premiums
In this paper we present a method for the numerical evaluation of the ruin probability in continuous and finite time for a classical risk process where the premium can change from year to year. A major consideration in the development of this methodology is that it should be easily applicable to lar...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2022
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10400.5/24725 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/24725 |