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Document Details : Title: The Probability and Severity of Ruin in Finite and Infinite Time Author(s): DICKSON, David C.M. , WATERS, Howard R. Journal: ASTIN Bulletin Volume: 22 Issue: 2 Date: November 1992 Pages: 177-190 DOI: 10.2143/AST.22.2.2005114 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. |
