FAR EASTERN BRANCH OF THE RUSSIAN ACADEMY OF SCIENCES
INSTITUTE OF APPLIED MATHEMATICS KHABAROVSK DIVISION
Far Eastern Mathematical Journal
Numerical estimations of probability of the ruin in the classical model of the risk with constant interest in the case of heavy tails |
E. S. Skvarnik |
2004, issue 1, P. 72–81 |
Abstract |
| Classical risk model under constant interest is considered. Fast algorithms of its ruin probability calculation are suggested. Large differences between accuracy numerical meanings of ruin probabiity and its asymptotic are established for mean values of initial capital. |
Keywords: classical risk model, ruin probability, constant interest force |
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References |
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