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Some Stable Algorithms in Ruin Theory and Their Applications

Published online by Cambridge University Press:  29 August 2014

David C.M. Dickson ,
Alfredo D. Egídio dos Reis  and
Howard R. Waters
David C.M. Dickson*
Affiliation:
The University of Melbourne
Alfredo D. Egídio dos Reis*
Affiliation:
ISEG, Lisbon
Howard R. Waters*
Affiliation:
Heriot-Watt University, Edinburgh
*
Centre for Actuarial Studies, Faculty of Economics and Commerce, University of Melbourne, Parkville, Victoria 3052, Australia
Departamento de Matemática, Instituto Superior de Economia e Gestão Rua Miguel Lupi 20, P-1200 Lisbon, Portugal
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh Midlothian EH 14 4AS, Great Britain
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Abstract

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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 ruinSeverity of ruinSurplus prior to ruinRecursive calculationStable algorithmCompound binomial model
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 25 , Issue 2 , November 1995 , pp. 153 - 175
Copyright
Copyright © International Actuarial Association 1995

References

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