Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique
M Usábel - Insurance: Mathematics and Economics, 1999 - Elsevier
Multivariate characteristics of risk processes are of high interest to academic actuaries. In
such models, the probability of ruin is obtained not only by considering initial reserves u but …
such models, the probability of ruin is obtained not only by considering initial reserves u but …
[HTML][HTML] On moments based Padé approximations of ruin probabilities
In this paper, we investigate the quality of the moments based Padé approximation of
ultimate ruin probabilities by exponential mixtures. We present several numerical examples …
ultimate ruin probabilities by exponential mixtures. We present several numerical examples …
Calculating ruin probabilities via product integration
CM Ramsay, MA Usabel - ASTIN Bulletin: The Journal of the IAA, 1997 - cambridge.org
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 …
as the Pareto or the lognormal), traditional techniques used to compute the probability of …
Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
The recent papers Gajek and Kucinsky (Insur Math Econ 73: 1–19,) and Avram et
al.(Mathematics 9 (9): 931,) cost induced dichotomy for optimal dividends in the cramr …
al.(Mathematics 9 (9): 931,) cost induced dichotomy for optimal dividends in the cramr …
Bounds for ruin probabilities in the presence of large claims and their comparison
V Kalashnikov - North American Actuarial Journal, 1999 - Taylor & Francis
Upper and lower bounds of ruin probabilities for the S. Andersen model with large claims
are proposed. The bounds are stated in terms of the corresponding ladder height distribution …
are proposed. The bounds are stated in terms of the corresponding ladder height distribution …
[HTML][HTML] Burr distribution as an actuarial risk model and the computation of some of its actuarial quantities related to the probability of ruin
In this paper, we have used an algorithm to fit the Burr XII distribution to a set of insurance
data. As it is well known, the probability of ultimate ruin is obtained as a solution to an …
data. As it is well known, the probability of ultimate ruin is obtained as a solution to an …
Ultimate ruin probabilities for generalized Gamma-convolutions claim sizes
M Usábel - ASTIN Bulletin: The Journal of the IAA, 2001 - cambridge.org
A method of inverting the Laplace transform based on the integration between zeros
technique and a simple acceleration algorithm is presented. This approach was designed to …
technique and a simple acceleration algorithm is presented. This approach was designed to …
Probabilidade da ruína no mercado de seguros: fundamentos e alguns resultados de simulação
S Regina Ribeiro Lemos - 2008 - bdtd.ibict.br
Neste trabalho apresentamos um embasamento teórico sobre a probabilidade da ruína de
uma seguradora, ou seja, a probabilidade de uma seguradora ficar com uma reserva …
uma seguradora, ou seja, a probabilidade de uma seguradora ficar com uma reserva …
On the Padé and Laguerre–Tricomi–Weeks Moments Based Approximations of the Scale Function W and of the Optimal Dividends Barrier for Spectrally Negative …
This paper considers the Brownian perturbed Cramér–Lundberg risk model with a dividends
barrier. We study various types of Padé approximations and Laguerre expansions to …
barrier. We study various types of Padé approximations and Laguerre expansions to …
On matrix exponential approximations of the infimum of a spectrally negative Levy process
We recall four open problems concerning constructing high-order matrix-exponential
approximations for the infimum of a spectrally negative Levy process (with applications to …
approximations for the infimum of a spectrally negative Levy process (with applications to …