Some stable algorithms in ruin theory and their application

Dickson, David C. M.; Reis, Alfredo D. Egidio dos; Waters, Howard R.

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

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Authors

Dickson, David C. M.

Reis, Alfredo D. Egidio dos

Waters, Howard R.

Abstract(s)

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 addition we present bounds for these distributions

Keywords

Probability of Ruin Severity of Ruin Surplus Prior to Ruin Recursive Calculation Stable Algorithm Compound Binomial Model

URI

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

Citation

Dickson, David C.M.; Alfredo D. Egidio dos Reis and Howard R. Waters. (1995) "Some stable algorithms in ruin theory and their applications". ASTIN Bulletin: The Journal of the IAA, Vol. 25, No. 2: pp. 153-175.