Object

Title: Ruin probability on a finite time horizon

Title in english:

Prawdopodobieństwo ruiny na skończonym horyzoncie czasu

Creator:

Michna, Zbigniew

Description:

Mathematical Economics, 2010, Nr 6 (13), s. 65-74

Abstrakt:

In this article we investigate the classical risk process. We derive a formula for the ruin probability on a finite time horizon for zero initial capital that is Cramér’s formula and for an arbitrary initial capital that is Seal’s formula. Applying these formulas and the approximation of a gamma process by compound Poisson processes we obtain a formula for the supremum distribution of a gamma process with a linear drift.

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2010

Resource Type:

artykuł

Resource Identifier:

oai:dbc.wroc.pl:34579

Language:

eng

Relation:

Mathematical Economics, 2010, Nr 6 (13)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu

Group publication title:

Mathematical Economics

Format:

application/pdf

Object collections:

Last modified:

Oct 17, 2019

In our library since:

Oct 12, 2016

Number of object content hits:

30

All available object's versions:

https://dbc.wroc.pl/publication/38077

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Edition name Date
Ruin probability on a finite time horizon Oct 17, 2019

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