RT Report
T1 Calculating ruin probabilities via product integration
A1 Ramsay, Colin M.
A1 Usábel Rodrigo, Miguel Arturo
AB When claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate roethods are needed. Product integration can be used in such situations to yield fast and accurate estimates of ruin probabilities because it uses quadrature weights that are suited to the underlying distribution. Tables of ruin probabilities for the Pareto and lognormal distributions are provided.
PB Facultad de Ciencias Económicas y Empresariales. Decanato
SN 2255-5471
YR 1997
FD 1997
LK https://hdl.handle.net/20.500.14352/64124
UL https://hdl.handle.net/20.500.14352/64124
LA eng
DS Docta Complutense
RD 10 abr 2026