Publication: Approximations for multivariate characteristics of classical risk ruin processes
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1998
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Facultad de Ciencias Económicas y Empresariales. Decanato
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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.
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