City Research Online

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


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
Additional Information: © 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
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
Text - Accepted Version
Available under License : See the attached licence file.

Download (245kB) | Preview
Text (Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence) - Other
Download (201kB) | Preview



Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login