Abstract
In this paper we present algorithms to calculate the probability and severity of ruin in both finite and infinite time for a discrete time risk model. We show how the algorithms can be applied to give approximate values for the same quantities in the classical continuous time risk model.
KEYWORDS Probability of ruin; severity of ruin; recursive calculation; finite time; infinite time.
Volume
22:2
Page
177-190
Year
1992
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Actuarial Applications and Methodologies
Regulation and Law
Solvency
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Solvency Analysis
Practice Areas
Risk Management
Publications
ASTIN Bulletin
