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}
}
  • Ton G. deKok
  • 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 extensive… CONTINUE READING

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