How to calculate ruin probabilities according to the classical risk theory
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03461238.1977.10405069
Reference7 articles.
1. A root-finding algorithm based on Newton's method
2. New quadrature formulas for the numerical inversion of the Laplace transform
3. Ruin probabilities prepared for numerical calculation
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1. Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times;ASTIN Bulletin;2004-11
2. Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes;ASTIN Bulletin;2001-05
3. Practical approximations for multivariate characteristics of risk processes;Insurance: Mathematics and Economics;1999-12
4. Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique;Insurance: Mathematics and Economics;1999-11
5. The ruin problem for mixed poisson risk processes;Scandinavian Actuarial Journal;1983-10
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