Some stable algorithms in ruin theory and their application

Detalhes bibliográficos
Autor(a) principal: Dickson, David C. M.
Data de Publicação: 1995
Outros Autores: Reis, Alfredo D. Egidio dos, Waters, Howard R.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/24481
Resumo: In this paper we present a stable recursive algorithm for the calculation of the probability of ultimate ruin in the classical risk model. We also present stable recursive algorithms for the calculation of the joint and marginal distributions of the surplus prior to ruin and the severity of ruin. In addition we present bounds for these distributions
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spelling Some stable algorithms in ruin theory and their applicationProbability of RuinSeverity of RuinSurplus Prior to RuinRecursive CalculationStable AlgorithmCompound Binomial ModelIn this paper we present a stable recursive algorithm for the calculation of the probability of ultimate ruin in the classical risk model. We also present stable recursive algorithms for the calculation of the joint and marginal distributions of the surplus prior to ruin and the severity of ruin. In addition we present bounds for these distributionsCambridge School PressRepositório da Universidade de LisboaDickson, David C. M.Reis, Alfredo D. Egidio dosWaters, Howard R.2022-06-03T13:46:28Z19951995-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/24481engDickson, David C.M.; Alfredo D. Egidio dos Reis and Howard R. Waters. (1995) "Some stable algorithms in ruin theory and their applications". ASTIN Bulletin: The Journal of the IAA, Vol. 25, No. 2: pp. 153-175.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:54:07Zoai:www.repository.utl.pt:10400.5/24481Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:31.106397Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Some stable algorithms in ruin theory and their application
title Some stable algorithms in ruin theory and their application
spellingShingle Some stable algorithms in ruin theory and their application
Dickson, David C. M.
Probability of Ruin
Severity of Ruin
Surplus Prior to Ruin
Recursive Calculation
Stable Algorithm
Compound Binomial Model
title_short Some stable algorithms in ruin theory and their application
title_full Some stable algorithms in ruin theory and their application
title_fullStr Some stable algorithms in ruin theory and their application
title_full_unstemmed Some stable algorithms in ruin theory and their application
title_sort Some stable algorithms in ruin theory and their application
author Dickson, David C. M.
author_facet Dickson, David C. M.
Reis, Alfredo D. Egidio dos
Waters, Howard R.
author_role author
author2 Reis, Alfredo D. Egidio dos
Waters, Howard R.
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Dickson, David C. M.
Reis, Alfredo D. Egidio dos
Waters, Howard R.
dc.subject.por.fl_str_mv Probability of Ruin
Severity of Ruin
Surplus Prior to Ruin
Recursive Calculation
Stable Algorithm
Compound Binomial Model
topic Probability of Ruin
Severity of Ruin
Surplus Prior to Ruin
Recursive Calculation
Stable Algorithm
Compound Binomial Model
description In this paper we present a stable recursive algorithm for the calculation of the probability of ultimate ruin in the classical risk model. We also present stable recursive algorithms for the calculation of the joint and marginal distributions of the surplus prior to ruin and the severity of ruin. In addition we present bounds for these distributions
publishDate 1995
dc.date.none.fl_str_mv 1995
1995-01-01T00:00:00Z
2022-06-03T13:46:28Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/24481
url http://hdl.handle.net/10400.5/24481
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Dickson, David C.M.; Alfredo D. Egidio dos Reis and Howard R. Waters. (1995) "Some stable algorithms in ruin theory and their applications". ASTIN Bulletin: The Journal of the IAA, Vol. 25, No. 2: pp. 153-175.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Cambridge School Press
publisher.none.fl_str_mv Cambridge School Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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