An improved recursive solution to the ruin probability in a classical discrete risk model. Its implementation and comparison

MaRDI QIDQ3373499zbMATH OpenFDO

Authors Weiwei Tang, Hangxing Wang

Publication date 13 March 2006

zbMATH Keywords

probability of ultimate ruincompound binominal model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Further analysis of ruin in a discrete risk model
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• scientific article; zbMATH DE number 1989772
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Cited in

(3)

• Recursive calculation of finite-time ruin probabilities
• Further analysis of ruin in a discrete risk model
• Computing ruin probability in the classical risk model

Describes a project that uses

Uses Software

• Matlab

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