Dependent Discrete Risk Processes - Calculation of the Probability of Ruin
This paper is devoted to discrete processes of dependent risks. The random variables describing the time between claims can be dependent in such processes, unlike under the classical approach. The ruin problem is investigated and the probability of ruin is computed. The relation between the degree o...
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| Format: | Article |
| Language: | English |
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Wrocław University of Science and Technology
2010-01-01
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| Series: | Operations Research and Decisions |
| Online Access: | http://orduser.pwr.wroc.pl/DownloadFile.aspx?aid=162 |