Recursive calculation of finite time ruin probabilities under interest force.

DOI10.1016/j.insmatheco.2003.09.008zbMath1103.60314MaRDI QIDQ1423349

Howard R. Waters, Rui M. R. Cardoso

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.09.008

zbMATH Keywords

Numerical algorithms; Interest rate; Ruin probability

Mathematics Subject Classification ID

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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Cites Work

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