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A Practical Algorithm for Approximating the Probability of Ruin
A Practical ... that is, 1 = 2(1 - v)' p>l . 1/2< ~,< 1. (17) 452 TRANSACTIONS, VOLUME XL IV Since f(p) ... (21), respectively; Compute ~:z using Equation (17); p using Equation (25); /31 and/32 using Equation ...- 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
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Loading Gross Premiums for Risk Without Using Utility Theory
distributions are contained in Embrechts and Goldie [17] and in Embrechts and Veraverbeke [18]. Definition ... example of such a risk-measure function is = ~24 (17) RIg] K 2 '~ {-O3K~ 3 Jr f~4K4 where the coj>-0 ...- Authors: Colin M Ramsay
- Date: Oct 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Transactions of the SOA
- Topics: Enterprise Risk Management>Risk measurement - ERM