Simulation analysis of ruin capital in Sparre Andersen's model of risk

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      <subfield code="a">Malinovskii, Vsevolod K.</subfield>
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      <subfield code="a">Simulation analysis of ruin capital in Sparre Andersen's model of risk</subfield>
      <subfield code="c">Vsevolod K. Malinovskii, Ksenia O. Kosova</subfield>
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      <subfield code="a">Ruin capital is a function of premium rate set to render the probability of ruin within finite time equal to a given value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in Malinovskii (2014) have shown that the ruin capital¿s shape is surprisingly simple. This work presents the results of related simulation studies. They are focused on the question whether this shape remains similar in Sparre Andersen¿s model of risk.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">03/11/2014 Volumen 59 Número 1 - noviembre 2014 </subfield>
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