Some stable algorithms in ruin theory and their application
Autor(a) principal: | |
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Data de Publicação: | 1995 |
Outros Autores: | , |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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 |
repository.mail.fl_str_mv |
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1799131179478155264 |