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On A Risk Measure Inspired From The Ruin Probability And The Expected Deficit at Ruin
On A Risk Measure Inspired From The Ruin Probability And The Expected Deficit at Ruin This abstract ... describes a paper that studies a risk measure derived from ruin theory defined as the smallest initial capital ...- Authors: Ilie Mitric, Julien Trufin
- Date: Feb 2014
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On Two Methods Based on Martingales and Simulation to Compute Infinite-Time Ruin Probabilities
On Two Methods Based on Martingales and Simulation to Compute Infinite-Time Ruin Probabilities This ... presents two methods for calculating the exact ruin probability on an infinite time horizon in a model ...- Authors: Hélène Cossette, Etienne Larrivée-Hardy, Etienne Marceau, Julien Trufin
- Date: Feb 2014