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argument and spectral theory, we establish an explicit formula for the resulting survival probabilities in this general setting …
Persistent link: https://www.econbiz.de/10010338338
We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek-Khintchine formula, and develop an efficient algorithm to approximate the ruin...
Persistent link: https://www.econbiz.de/10012127948