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Recursive Calculation of Survival Probabilities

Published online by Cambridge University Press:  29 August 2014

David C. M. Dickson  and
Howard R. Waters
David C. M. Dickson*
Affiliation:
Heriot-Watt University, Edinburgh, United Kingdom
Howard R. Waters*
Affiliation:
Heriot-Watt University, Edinburgh, United Kingdom
*
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom.
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom.
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Abstract

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In this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.

Keywords

Survival probabilityfinite timeinfinite timerecursive calculationsnumerical stability
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 21 , Issue 2 , November 1991 , pp. 199 - 221
Copyright
Copyright © International Actuarial Association 1991

References

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