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On the absolute ruin problem in a Sparre Andersen risk model with constant interest
ruin model: The surplus process is U(t) = u + ct − ∑N(t)j=1 Yj where u is the initial capital ct stands ... premiums assumed to arrive continuously over time S(t) = ∑N(t) j=1 Yj is the aggregate-claims process ...- Authors: Andrei Lucian Badescu, Ilie Mitric, David A Stanford
- Date: Aug 2011
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management
- Topics: Enterprise Risk Management>Risk measurement - ERM