Universidad Complutense de Madrid
E-Prints Complutense

Approximations for multivariate characteristics of classical risk ruin processes

Impacto

Downloads

Downloads per month over past year



Usábel Rodrigo, Miguel Arturo (1998) Approximations for multivariate characteristics of classical risk ruin processes. [ Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales; nº 01, 1998, ISSN: 2255-5471 ]

[img]
Preview
PDF
Creative Commons Attribution Non-commercial Share Alike.

192kB

Official URL: http://eprints.ucm.es/27082/




Abstract

Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity of ruin y and the surplus before ruin x. This ruin probability can be expressed using an integral equation that can be efficiently solved using Gaver-Stehfest method of invertig Laplace transforms.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Multivariate ultimate ruin probability; Laplace transform; Integral equations; Numerical methods.
Subjects:Sciences > Mathematics > Probabilities
Sciences > Mathematics > Bayesian statistical decision theory
Series Name:Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales
Volume:1998
Number:01
ID Code:27082
Deposited On:13 Oct 2014 17:18
Last Modified:03 Sep 2015 11:47

Origin of downloads

Repository Staff Only: item control page