A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities-Reference-Cited by-同舟云学术

A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities

Published:1984-04 Issue:1 Volume:14 Page:53-59
ISSN:0515-0361
Container-title:ASTIN Bulletin
language:en
Short-container-title:ASTIN Bull.

Author:

Goovaerts Marc,de Vylder Florian

Abstract

AbstractProbabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

Reference6 articles.

1. Further Results on Recursive Evaluation of Compound Distributions

2. On the Numerical Evaluation of the Distribution of Aggregate Claims and its Stop-Loss Premiums;Gerber;Insurance: Mathematics and Economics,1982

3. Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions

4. Recursive Evaluation of a Family of Compound Distributions

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