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Numerical evaluation of ruin probabilities for a finite period

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  • Thorin, Olof
  • Wikstad, Nils

Abstract

In this paper the authors remind of the known formulas for the double Laplace-Stieltjes transforms of the ruin probabilities ψ(u, t), where u is the initial risk reserve and t stands for the operational time, in the case of independent interoccurence times and claim amounts such that the interoccurrence times are identically distributed Κ(t), t ≥ o, Κ(o) = o, and the claim amounts are identically distributed P(y), — ∞

Suggested Citation

  • Thorin, Olof & Wikstad, Nils, 1973. "Numerical evaluation of ruin probabilities for a finite period," ASTIN Bulletin, Cambridge University Press, vol. 7(2), pages 137-153, September.
    • Handle: RePEc:cup:astinb:v:7:y:1973:i:02:p:137-153_00
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    Cited by:

    1. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
    2. Malinovskii, Vsevolod K., 1998. "Non-Poissonian claims' arrivals and calculation of the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 123-138, June.
    3. Usabel, M. A., 1999. "Practical approximations for multivariate characteristics of risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 397-413, December.
    4. Usabel, Miguel, 1999. "Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 133-142, November.
    5. He, Yue & Kawai, Reiichiro, 2022. "Moment and polynomial bounds for ruin-related quantities in risk theory," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1255-1271.
    6. M. Concepcion Ausin & Michael P. Wiper & Rosa E. Lillo, 2009. "Bayesian estimation of finite time ruin probabilities," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(6), pages 787-805, November.

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