On the evaluation of finite-time ruin probabilities in a dependent risk model
Dimitrova, D. S., Kaishev, V. K. & Zhao, S. (2016). On the evaluation of finite-time ruin probabilities in a dependent risk model. Applied Mathematics and Computation, 275, pp. 268-286. doi: 10.1016/j.amc.2015.11.082
Abstract
This paper establishes some enlightening connections between the explicit formulas of the finite-time ruin probability obtained by Ignatovand Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical properties of these formulas are investigated and efficient algorithms for computing ruin probability with prescribed accuracy are presented. Extensive numerical comparisons and examples are provided.
Publication Type: | Article |
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Additional Information: | © 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/ |
Publisher Keywords: | Finite time ruin probability; Dependent risk modeling; Appell polynomials; Numerical implementation; Order statistics |
Subjects: | Q Science > QA Mathematics |
Departments: | Bayes Business School > Actuarial Science & Insurance |
SWORD Depositor: |
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