A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities
- 1 April 1984
- journal article
- research article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 14 (1) , 53-59
- https://doi.org/10.1017/s0515036100004803
Abstract
Probabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.Keywords
This publication has 3 references indexed in Scilit:
- Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributionsJournal of Econometrics, 1983
- Recursive Evaluation of a Family of Compound DistributionsASTIN Bulletin, 1981
- Further Results on Recursive Evaluation of Compound DistributionsASTIN Bulletin, 1981