Multivariate characteristics of risk ruin processes using T-years deferred ruin probability
| dc.contributor.author | Usábel Rodrigo, Miguel Arturo | |
| dc.date.accessioned | 2023-06-21T01:36:17Z | |
| dc.date.available | 2023-06-21T01:36:17Z | |
| dc.date.issued | 1998 | |
| dc.description.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. | |
| dc.description.department | Decanato | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/27084 | |
| dc.identifier.issn | 2255-5471 | |
| dc.identifier.relatedurl | https://economicasyempresariales.ucm.es/working-papers-ccee | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64133 | |
| dc.issue.number | 04 | |
| dc.language.iso | eng | |
| dc.page.total | 19 | |
| dc.publication.place | Madrid | |
| dc.publisher | Facultad de Ciencias Económicas y Empresariales. Decanato | |
| dc.relation.ispartofseries | Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales | |
| dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
| dc.rights.accessRights | open access | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
| dc.subject.keyword | Multivariate risk process | |
| dc.subject.keyword | T-years deferred ruin probability | |
| dc.subject.keyword | Finite time multivariate ruin probability | |
| dc.subject.keyword | Recursive methods | |
| dc.subject.keyword | Series expansions. | |
| dc.subject.ucm | Probabilidades (Matemáticas) | |
| dc.subject.ucm | Teoría de la decisión | |
| dc.subject.unesco | 1209.04 Teoría y Proceso de decisión | |
| dc.title | Multivariate characteristics of risk ruin processes using T-years deferred ruin probability | |
| dc.type | technical report | |
| dc.volume.number | 1998 | |
| dcterms.references | Burden, RL. and Faires, J.D.(1985). Numerical Analysis, P.W.S., Boston. Cramèr, H. (1955) Collectivc Risk Theory. Jubille Volume of F. Skandia. Delves, L. M. and Mohamed, J. L. (1985). Computational methods for integral equations. Cambridge, England. Cambridge University Press. Dickson, C. (1989) Recursive calculation of the probability and severity of ruin. Insurance: Mathematics and Economics, 8. Dickson, C. and Waters, H. (1992) The probability and severity of ruin in finite and infinite time. ASTIN Bulletin, Vol 22, 2 . Dickson, C. (1993) On The distribution of the claim causing ruin. Insurance: Mathematics and Economics, 12. Dufresne, F. and Cerber, H. (1988) The surpluses immediately before and at ruin, and the amount of the claim causing ruin. Insurance: Mathematies and Econornics, 7. Feller, W. (1973). An introduction to probability and its applications. Volume II John Willey. Frey, A. and Schmidt, V., (1996) Taylor Series expansion for multivariate characteristics of classical risk processes. Insurance: Mathematics and Economics, 18. Gaver, D. P. (1966). Operational Research. 14, 444-459. Gerber, H., Goovaerts, M., Kaas, R. (1987) On the probability and severity of ruin. ASTIN Bulletin, Vol. 17, 2. Piessens, R. (1969) New quadrature formulas for the numerical inversion of Laplace transforms. BIT 9, 351-361. Ramsay, C. M. (1992a). “A practical Algorithm for Approximating the Probability of Ruin”. Transactions of the Society of Actuaries, XLIV, 443-59. Ramsay, C. M. (1992b). “Improving Goovaerts’ and De Vylder’s Stable Recursive Algorithm. ASTIN Bulletin, 22, 51-59. Ramsay, C. M. and Usábel, M. A. (1997). Calculating Ruin probabilities via product integration. ASTIN Bulletin, Vol. 27, 2. Seal, H. (1971) Numerical calculation of the Bohman-Esscher family of convolution-mixed negative binomial distribution functions. Mitt. Verein. Schweiz. Versich-Mathr. 71, 71-94. Seal, H. (1974) The numerical calculation of U(w,t), the probability of non-ruin in an interval (0,t). Scan. Act. Journal, 121-139. Seal, H. (1977) Numerical inversion of characteristics functions. Scan. Act. Journal, 48-53. Stehfest, H. (1970). Numerical inversion of Laplace transform. Communications of the ACM, Vol. 19, Nº 1. Thorin, O. (1970). Some remarks on the ruin problem in case the epochs of claims form a renewal process. Skandinavisk Aktuarietidskrift. 29-50. Thorin, O. (1971). Further remarks on the ruin problem in case the epochs of claims form a renewal process. Skandinavisk Aktuarietidskrift.14-38, 121-142. Thorin, O. (1973). The ruin problem in case the tail of a distribution is completely monotone. Skandinavisk Aktuarietidskrift. 100-119. Thorin, O. (1977). Ruins probabilities prepared for numerical calculation. Scandinavian Actuarial Journal. Thorin, O. and Wikstad, N. (1973). Numerical evaluation of ruin probabilities for a finite period. ASTIN Bulletin VII:2, 138-153. Wikstad, N. (1971) Exemplifications of ruin probabilities. ASTIN Bulletin, vol. VI, part 2. Wikstad, N. (1977). How to calculate Ruin probabilities according to the classical Risk Theory. Scand. Actuarial Journal. | |
| dspace.entity.type | Publication |
Download
Original bundle
1 - 1 of 1
