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Comparing Needs for Initial Surplus in Collective Risk Models
papers have presented methods for ap- proximating ¢(u), the infinite time ruin function. Goovaerts and ... algorithm to obtain upper and lower bounds on ¢(u), and hence on the error in the approximation. They ...- Authors: John A Beekman, Clinton P Fuelling
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM
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Value-at-Risk for Risk Portfolios
- (((1 - a) × n)th smallest value of Pal) 2.2 S imulat ion An alternate method, the simulation ... the same way as in the historical method. 261 S imulat ion Mode l : P,.(F = (f~, f2,.-., fk)) --= ...- Authors: Julia Lynn Wirch-Viinikka
- Date: Jan 1998
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Enterprise Risk Management>Risk measurement - ERM