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Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique

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  • Usabel, Miguel

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  • Usabel, Miguel, 1999. "Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 133-142, November.
    • Handle: RePEc:eee:insuma:v:25:y:1999:i:2:p:133-142
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    References listed on IDEAS

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    1. Dickson, David C.M. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 1995. "Some Stable Algorithms in Ruin Theory and Their Applications," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 153-175, November.
    2. H. Panjer, Harry & Shaun Wang,, 1993. "On the Stability of Recursive Formulas," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 227-258, November.
    3. Frey, Andreas & Schmidt, Volker, 1996. "Taylor-series expansion for multivariate characteristics of classical risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 1-12, May.
    4. Dickson, David C. M., 1989. "Recursive calculation of the probability and severity of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 8(2), pages 145-148, June.
    5. Covens, F. & Van Wouwe, M. & Goovaerts, M., 1979. "On the Numerical Evaluation of Stop-Loss Premiums," ASTIN Bulletin, Cambridge University Press, vol. 10(3), pages 318-324, December.
    6. Ramsay, Colin M. & Usabel, Miguel A., 1997. "Calculating Ruin Probabilities via Product Integration," ASTIN Bulletin, Cambridge University Press, vol. 27(2), pages 263-271, November.
    7. Goovaerts, Marc & de Vylder, Florian, 1984. "A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 14(1), pages 53-59, April.
    8. 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.
    9. Wikstad, Nils, 1971. "Exemplification of Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 6(2), pages 147-152, December.
    10. Dickson, David C. M., 1993. "On the distribution of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 12(2), pages 143-154, April.
    11. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 151-163, November.
    12. Dufresne, Francois & Gerber, Hans U., 1988. "The surpluses immediately before and at ruin, and the amount of the claim causing ruin," Insurance: Mathematics and Economics, Elsevier, vol. 7(3), pages 193-199, October.
    13. Dickson, David C. M. & Waters, Howard R., 1992. "The Probability and Severity of Ruin in Finite and Infinite Time," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 177-190, November.
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    Cited by:

    1. Hainaut, Donatien, 2015. "Evaluation and default time for companies with uncertain cash flows," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 276-285.
    2. Diko, Peter & Usábel, Miguel, 2011. "A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 126-131, July.
    3. Olivier Le Courtois & François Quittard-Pinon, 2006. "Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(1), pages 11-39, March.

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