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Approximations for multivariate characteristics of classical risk ruin processes

Author

Listed:
  • Miguel Arturo Usábel Rodrigo

    ( Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.)

Abstract

Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity of ruin y and the surplus before ruin x. This ruin probability can be expressed using an integral equation that can be efficiently solved using Gaver-Stehfest method of invertig Laplace transforms.

Suggested Citation

  • Miguel Arturo Usábel Rodrigo, 1998. "Approximations for multivariate characteristics of classical risk ruin processes," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 98-01, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • Handle: RePEc:ucm:doctra:98-01
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