Multivariate characteristics of risk ruin processes using T-years deferred ruin probability

Abstract

Frey and Schmidt (1996) obtained a recursive method of approximating finite time multivariate ruin probability based on a Mc-Laurin expansion for the classical case and exponentially tailed distributions of the claim size. In this work a generalization will be considered, firts beyond the classical case and later, in the classical context, for any distribution of the claim size. It will be also proved that the recursive procedure can be simplified.