RT Report
T1 Multivariate characteristics of risk ruin processes using T-years deferred ruin probability
A1 Usábel Rodrigo, Miguel Arturo
AB Frey and Schmidt (1996) obtained a recursive method of approximating finite time multivariate ruin probability based on a Mc-Laurin expansion for the classical case and exponentially tailed distributions of the claim size. In this work a generalization will be considered, firts beyond the classical case and later, in the classical context, for any distribution of the claim size. It will be also proved that the recursive procedure can be simplified.
PB Facultad de Ciencias Económicas y Empresariales. Decanato
SN 2255-5471
YR 1998
FD 1998
LK https://hdl.handle.net/20.500.14352/64133
UL https://hdl.handle.net/20.500.14352/64133
LA eng
DS Docta Complutense
RD 18 abr 2025