Stochastic successive approximation method for assessing the insolvency risk of an insurance company (Q1008370): Difference between revisions
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Revision as of 02:53, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic successive approximation method for assessing the insolvency risk of an insurance company |
scientific article |
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Stochastic successive approximation method for assessing the insolvency risk of an insurance company (English)
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27 March 2009
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In this paper, the Monte Carlo method of the successive approximation solution of the renewal equation describing the ruin probability of the classical compound Poisson risk model is studied. Uniform estimation of the convergence is given. The theoretic result is illustrated by a numerical example.
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risk process
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ruin probability
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terminating renewal process
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succesive approximation
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Monte Carlo method
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