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Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes

Published online by Cambridge University Press:  29 August 2014

M. Usábel
M. Usábel*
Affiliation:
Universidad Carlos III de Madrid
*
Universidad Carlos III de Madrid, Avda. Universidad Carlos, 22, Colmenarejo 28270 (Madrid), Spain E-mail: [email protected]
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Abstract

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A method of inverting the Laplace transform based on the integration between zeros technique and a simple acceleration algorithm is presented. This approach was designed to approximate ultimate ruin probabilities for Γ-convolutions claim sizes, but it can be also used with other distributions. The stable algorithm obtained yields interval approximations (lower and upper bounds) to any desired degree of accuracy even for very large values of u (1,000,000), initial reserves, without increasing the number of computations. This last fact can be considered an interesting property compared with other recursive methods previously used in actuarial literature or other methods of inverting Laplace transforms.

Keywords

Ultimate ruin probabilityupper and lower boundsstable recursive algorithmsnumerical inversion of the Laplace transform
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 31 , Issue 1 , May 2001 , pp. 59 - 79
Copyright
Copyright © International Actuarial Association 2001

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