an:04024583
Zbl 0629.62101
de Vylder, F.; Goovaerts, M. J.
Recursive calculation of finite-time ruin probabilities
EN
Insur. Math. Econ. 7, No. 1, 1-7 (1988).
00166662
1988
j
62P05 65C99
recursion algorithm; calculation of finite-time ruin probabilities; general discrete-time risk process model; approximations; risk model
We develop a simple algorithm for the numerical calculation of finite- time ruin probabilities in a general discrete-time risk process model. These probabilities can be used for the calculation of approximations for the finite-time ruin probabilities in the classical actuarial risk model.
Reviewer (Berlin)