Recursive calculation of time to ruin distributions.
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Publication:1413314
DOI10.1016/S0167-6687(02)00102-6zbMath1074.91545MaRDI QIDQ1413314
Rui M. R. Cardoso, Alfredo D. Egídio dos Reis
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00102-6
Markov chain; Time to ruin; Barrier problems; Discrete time model; Finite time; Probability of ruin; Recursive calculation
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Cites Work