Highly Influenced

# Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure

@inproceedings{deKok2010RuinPW, title={Ruin probabilities with compounding assets for discrete time finite horizon problems, independent period claim sizes and general premium structure}, author={Ton G. deKok}, year={2010} }

- Published 2010

In this paper we present fast and accurate approximations for the probability of ruin over a finite number of periods, assuming inhomogeneous independent claim size distributions and arbitrary premium income in subsequent periods. We develop exact recursive expressions for the non-ruin probabilities in subsequent periods. These recursive expressions provide the basis for a computationally efficient recursive approximation scheme based on two-moment gamma distribution fits. An extensiveâ€¦Â CONTINUE READING