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  • Search: subject:"finite and infinite horizon"
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Subject
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Solvency II 1 Value-at-Risk 1 ballot theorem 1 compound Poisson model 1 compound binomial model 1 finite and infinite horizon 1 pseudo-distributions 1 ruin probability 1
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Free 1
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Book / Working Paper 1
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English 1
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Lefèvre, Claude 1 Loisel, Stéphane 1
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HAL 1
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On Finite-Time Ruin Probabilities for Classical Risk Models
Lefèvre, Claude; Loisel, Stéphane - HAL - 2008
This paper is concerned with the problem of ruin in the classical compound binomial and compound Poisson risk models. Our primary purpose is to extend to those models an exact formula derived by Picard and Lefèvre (1997) for the probability of (non-)ruin within finite time. First, a standard...
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