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Journal ArticleOPEN ACCESS

The Probability and Severity of Ruin in Finite and Infinite Time

  • Dickson D
  • Waters H
ASTIN Bulletin (1992) 22(2) 177-190
DOI: 10.2143/ast.22.2.2005114
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Abstract

In this paper we present algorithms to calculate the probability and severity of ruin in both finite and infinite time for a discrete time risk model. We show how the algorithms can be applied to give approximate values for the same quantities in the classical continuous time risk model.

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Dickson, D. C. M., & Waters, H. R. (1992). The Probability and Severity of Ruin in Finite and Infinite Time. ASTIN Bulletin, 22(2), 177–190. https://doi.org/10.2143/ast.22.2.2005114

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