破产概率的直接计算

Direct Calculation of Ruin Probabilities

Journal of Risk & Insurance · 1986
被引 46 · 同刊同年前 7%
ABS 3

中文导读

提出一种简单递归方法计算终极破产概率,适用于离散索赔额分布,并给出数值示例。

Abstract

This paper gives a simple recursive method for calculating ultimate ruin probabilities. The method is especially easy to apply in practical situations of discrete claim size distributions for which a numerical illustration is given.

破产理论精算学风险模型计量经济学