Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
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Publication:2513601
DOI10.1016/j.insmatheco.2013.07.011zbMath1304.91242MaRDI QIDQ2513601
Aldo Tagliani, Pier Luigi Novi Inverardi, Henryk Gzyl
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.07.011
91G60: Numerical methods (including Monte Carlo methods)
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