THE NUMERICAL-SOLUTION OF THE SCHMITTER PROBLEMS - THEORY

Authors
DEVYLDER F MARCEAU E
Citation
F. Devylder et E. Marceau, THE NUMERICAL-SOLUTION OF THE SCHMITTER PROBLEMS - THEORY, Insurance. Mathematics & economics, 19(1), 1996, pp. 1-18
Citations number
9
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous","Statistic & Probability
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
19
Issue
1
Year of publication
1996
Pages
1 - 18
Database
ISI
SICI code
0167-6687(1996)19:1<1:TNOTSP>2.0.ZU;2-6
Abstract
The numerical solution of the Schmitter problems is based on a renewal equation in a discretization of the classical risk model, on a genera l optimization algorithm of functions on convex spaces, and on the int roduction of directional derivatives in the risk model.