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Calculating ruin probabilities via product integration

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Ramsay, Colin M. and Usábel Rodrigo, Miguel Arturo (1997) Calculating ruin probabilities via product integration. [ Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales; nº 15, 1997, ]

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Abstract

When claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate roethods are needed. Product integration can be used in such situations to yield fast and accurate estimates of ruin probabilities because it uses quadrature weights that are suited to the underlying distribution. Tables of ruin probabilities for the Pareto and lognormal distributions are provided.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Integral equation; Convergence; Heavy-tailed distributions.
Subjects:Sciences > Mathematics > Finance
Sciences > Mathematics > Functions
Series Name:Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales
Volume:1997
Number:15
ID Code:27013
Deposited On:08 Oct 2014 13:48
Last Modified:08 Oct 2014 13:48

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