Title of article :
Recursive calculation of finite time ruin probabilities under interest force
Author/Authors :
Cardoso، نويسنده , , Rui M.R. and R. Waters، نويسنده , , Howard، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Pages :
18
From page :
659
To page :
676
Abstract :
In this paper, we consider a classical insurance surplus process affected by a constant interest force. We present numerical algorithms for the calculation of finite time ruin probabilities using a discrete time Markov chain to approximate the risk process. Based on this method, upper and lower bounds are also obtained.
Keywords :
Interest rate , Numerical algorithms , Ruin probability
Journal title :
Insurance Mathematics and Economics
Serial Year :
2003
Journal title :
Insurance Mathematics and Economics
Record number :
1542709
Link To Document :
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