Approximation of the initial reserve for known ruin probabilities (Q1089712)
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scientific article; zbMATH DE number 4005411
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| English | Approximation of the initial reserve for known ruin probabilities |
scientific article; zbMATH DE number 4005411 |
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Approximation of the initial reserve for known ruin probabilities (English)
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1986
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This paper estimates the initial reserve necessary to achieve a given probability of ruin within a finite time period. Three models for the net liability process are considered: Compound Poisson, ARMA and Stochastic discounting. A less technical version of this paper can be found in the Record of the Society of Actuaries 12, 2533-2543 (1986).
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approximation of the initial reverse
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known ruin probabilities
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risk theory
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finite time
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quantile estimation
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kernel estimation
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net liability process
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Compound Poisson
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ARMA
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Stochastic discounting
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0.8574782609939575
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0.8250014781951904
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0.8164045810699463
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0.8085449934005737
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