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JOURNALS // Dal'nevostochnyi Matematicheskii Zhurnal // Archive

Dal'nevost. Mat. Zh., 2004 Volume 5, Number 1, Pages 72–81 (Mi dvmg176)

This article is cited in 2 papers

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

Institute of Applied Mathematics, Far-Eastern Branch of the Russian Academy of Sciences

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.

Key words: classical risk model, ruin probability, constant interest force.

UDC: 519.872

MSC: 60K25

Received: 15.05.2003



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