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Brownian motion 1 De Vylder approximation 1 Diffusion approximation 1 Insurance risk model 1 Levy motion 1 Ruin probability 1 Segerdahl approximation 1
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Free 1
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Book / Working Paper 1
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English 1
Author
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Burnecki, Krzysztof 1 Teuerle, Marek 1
Institution
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1
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HSC Research Reports 1
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RePEc 1
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Ruin Probability in Finite Time
Burnecki, Krzysztof; Teuerle, Marek - Hugo Steinhaus Center for Stochastic Methods, … - 2010
The ruin probability in finite time can only be calculated analytically for a few special cases of the claim amount distribution. The most classic example is discussed in Section 1.2. The value can always be computed directly using Monte Carlo simulations, however, this is usually a...
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