Some stable algorithms in ruin theory and their application

In this paper we present a stable recursive algorithm for the calculation of the probability of ultimate ruin in the classical risk model. We also present stable recursive algorithms for the calculation of the joint and marginal distributions of the surplus prior to ruin and the severity of ruin. In...

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Bibliographic Details
Main Author: Dickson, David C. M. (author)
Other Authors: Reis, Alfredo D. Egidio dos (author), Waters, Howard R. (author)
Format: article
Language:eng
Published: 2022
Subjects:
Probability of Ruin
Severity of Ruin
Surplus Prior to Ruin
Recursive Calculation
Stable Algorithm
Compound Binomial Model
Online Access:http://hdl.handle.net/10400.5/24481
Country:Portugal
Oai:oai:www.repository.utl.pt:10400.5/24481

Internet

http://hdl.handle.net/10400.5/24481

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