Recursive calculation of finite time ruin probabilities under interest force.
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Publication:1423349
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
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
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