IDEAS home Printed from https://ideas.repec.org/p/ucm/doctra/98-04.html
   My bibliography  Save this paper

Multivariate characteristics of risk ruin processes using T-years deferred ruin probability

Author

Listed:
  • Miguel Arturo Usábel Rodrigo

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

Abstract

Frey and Schmidt (1996) obtained a recursive method of approximating finite time multivariate ruin probability based on a Mc-Laurin expansion for the classical case and exponentially tailed distributions of the claim size. In this work a generalization will be considered, firts beyond the classical case and later, in the classical context, for any distribution of the claim size. It will be also proved that the recursive procedure can be simplified.

Suggested Citation

  • Miguel Arturo Usábel Rodrigo, 1998. "Multivariate characteristics of risk ruin processes using T-years deferred ruin probability," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 98-04, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • Handle: RePEc:ucm:doctra:98-04
    as

    Download full text from publisher

    File URL: https://eprints.ucm.es/id/eprint/27084/1/9804.pdf
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucm:doctra:98-04. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Águeda González Abad (email available below). General contact details of provider: https://edirc.repec.org/data/feucmes.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.