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On the numerical evaluation of the ultimate ruin probability. (English) Zbl 0685.62088
Summary: A new method for computing the ultimate ruin probability is presented. The accuracy of the method is demonstrated in some examples, where the exact results are known. Finally the practicability of the method is shown.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
65C99 Probabilistic methods, stochastic differential equations
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