An improved finite-time ruin probability formula and its Mathematica implementation

Insurance: Mathematics and Economics

Volumn 29, Issue 3, 2001, Pages 375-386

  Ignatov, Zvetan G ^a   Kaishev, Vladimir K ^a,b   Krachunov, Rossen S ^a  

^a UNIVERSITY OF SOFIA   (Bulgaria)

^b INSTITUTE OF MATHEMATICS AND INFORMATICS   (Bulgaria)

Author keywords

Arbitrary premium income function; Discrete, dependent, individual claims; Finite time ruin probability

Indexed keywords

EID: 0041865379     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(01)00078-6     Document Type: Article

References (7)

1. Dickson, D.C.M., 1999. On numerical evaluation of finite time survival probabilities. British Actuarial Journal 5 (III), 575-584.
2. De Vylder F.E. La Formule de Picard et Lefèvre pour la probabilite de ruine en temps fini. Bulletin Français d'Actuariat. 1(2):1997;31-40.
3. De Vylder F.E. Numerical finite-time ruin probabilities by the Picard-Lefèvre formula. Scandinavian Actuarial Journal. 2:1999;97-105.
4. Ignatov Z.G., Kaishev V.K. Two-sided bounds for the finite time probability of ruin. Scandinavian Actuarial Journal. 1:2000;46-62.
5. Ignatov, Z.G., Kaishev, V.K., Krachunov, R.S., 2000. Explicit, finite time ruin probabilities for discrete, dependent claims. Technical Report No. 3. Section on Comp. Stochastics, Institute of Mathematics, Bulgarian Academy of Sciences, Sofia, Bulgaria.
6. Kaishev, V.K., Krachunov, R.S., 2000. A Mathematica package for calculating finite time ruin probabilities in the case of discrete claim size distributions. Technical Report No. 1. Section on Comp. Stochastics, Institute of Mathematics, Bulgarian Academy of Sciences, Mathematica Journal, in preparation.
7. Picard P., Lefèvre C. The probability of ruin in finite time with discrete claim size distribution. Scandinavian Actuarial Journal. 1:1997;58-69.