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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 ... defined as the smallest initial capital needed to cope in expectation with the first occurrence of a ruin ...- 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
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