Ruin probabilities as functions of the roots of a polynomial
A new formula for the ultimate ruin probability in the Cramér–Lundberg risk process is provided when the claims are assumed to follow a finite mixture of m Erlang distributions. Using the theory of recurrence sequences, the method proposed here shifts the problem of finding the ruin probability to t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2023-03-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/23-VMSTA226 |