A Note On the Solution of Practical Ruin Problems

Devylder, F.;Goovaerts, MJ.
(1994) Insurance: Mathematics and Economics — Vol. 15, n° 2-3, p. 181-186 (1994)

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  • Devylder, F.
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  • Goovaerts, MJ.
    Author
Abstract
An algorithm is presented in order to solve numerically all practical ruin problems mentioned by Howard Waters in his Monte Verita lecture of 1993. Severity of ruin, interest, dividends, varying severity loadings, ... can be taken into account.
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Devylder, F., & Goovaerts, MJ. (1994). A Note On the Solution of Practical Ruin Problems. Insurance: Mathematics and Economics, 15(2-3), 181-186. https://doi.org/10.1016/0167-6687(94)90793-5 (Original work published 1994)