An Improved Finite-Time Ruin Probability Formula and Its Mathematica Implementation

An improved version of a ruin probability formula due to Ignatov and Kaishev [Scand. Actu. J. 1 (2000) 46], allowing for the exact evaluation of the finite-time survival probability for discrete, dependent, individual claims, Poisson claim arrivals and arbitrary, increasing premium income function is derived. Its numerical efficiency is studied, using the Mathematica system. Numerical results are provided and computational aspects are discussed. A Mathematica module, realizing the Picard and Lefegrave;vre [Scand. Actu. J. 1 (1997) 58] formula has also been developed and used for numerical investigations

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Year of publication:	[2013]
Authors:	Ignatov, Tzvetan
Other Persons:	Kaishev, Vladimir K. (contributor) ; Krachunov, Rossen S. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Wahrscheinlichkeitsrechnung \| Probability theory \| Theorie \| Theory
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Insurance: Mathematics and Economics, Vol. 29, pp. 375-386, 2001 Volltext nicht verfügbar
Classification:	C60 - Mathematical Methods and Programming. General ; G22 - Insurance; Insurance Companies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012754247