Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
Year of publication: |
2015
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Authors: | Raducan, Anisoara Maria ; Vernic, Raluca ; Zbaganu, Gheorghita |
Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 2, p. 421-443
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Subject: | Continuous time risk process | ruin probability | renewal process | non-homogeneous claim sizes | Erlang distribution | mixture of exponentials distribution | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Risikomodell | Risk model | Portfolio-Management | Portfolio selection |
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