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On Two Methods Based on Martingales and Simulation to Compute Infinite-Time Ruin Probabilities
paper that presents two methods for calculating the exact ruin probability on an infinite time horizon ... model containing dependence between the interclaim time and the subsequent claim amount. 6442453301 ...- Authors: Hélène Cossette, Etienne Larrivée-Hardy, Etienne Marceau, Julien Trufin
- Date: Feb 2014