Probabilities of Ruin in Economics and Insurance under Light- and Heavy-tailed Distributions
This research is conducted on ruin problems in two fields. First, the ruin or survival of an economic agent over finite and infinite time horizons is explored for a one-good economy. A recursive relation derived for the intractable ruin distribution is used to compute its moments. A new system of Ch...
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| Language: | en_US |
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The University of Arizona.
2015
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| Online Access: | http://hdl.handle.net/10150/556962 |