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A Practical Algorithm for Approximating the Probability of Ruin
an in- surance company's aggregate claims process S(t). This model can briefly be described as follows: ... claims occurring in (0,t] are defined as N(t) S(t) = ~ Xk, t > O, k=l where N(t) is the number ...- Authors: Colin M Ramsay
- Date: Oct 1992
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Risk measurement - ERM; Modeling & Statistical Methods