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Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald

An approximation to the ruin probability in discrete time by a result of A. Wald

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Zusammenfassung

Es wird ein zeitdiskreter Risikoproze\ betrachtet und zwar bei grü\erem Zeithorizont. Durch Anwendung eines älteren Ergebnisses von A. Wald wird eine allgemeine Approximation für die Ruinwahrscheinlichkeit hergeleitet.

Summary

A timediscrete risk-process is considered when the time-horizont is larger. By applying an older result of A. Wald a general approximation to the ruin probability is derived.

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Literatur

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Authors and Affiliations

  1. Hamburg

    Erhard Kremer

Authors
  1. Erhard Kremer
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Kremer, E. Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald. Blätter DGVFM 25, 191–194 (2001). https://doi.org/10.1007/BF02857130

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  • DOI: https://doi.org/10.1007/BF02857130

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