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- W75571821 abstract "In this paper we present a method for the numerical evaluation of the ruin probability in continuous, finite or infinite time for a classical risk process where the premium can change from year to year. Our method is based on the simulation of the annual aggregate claims and then on the calculation of the ruin probability for a given surplus at the start and at the end of each year. We calculate the within-year ruin probability assuming first a Brownian motion approximation and, secondly, a translated gamma distribution approximation for the aggregate claim amount." @default.
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- W75571821 date "2010-01-01" @default.
- W75571821 modified "2023-09-27" @default.
- W75571821 title "A model for numerical evaluation of continuous time ruin probabilities with a variable premium rate" @default.
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