Title of article
An improved finite-time ruin probability formula and its Mathematica implementation
Author/Authors
Ignatov، نويسنده , , Zvetan G. and Kaishev، نويسنده , , Vladimir K. and Krachunov، نويسنده , , Rossen S.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
12
From page
375
To page
386
Abstract
An improved version of a ruin probability formula due to Ignatov and Kaishev [Scand. Actu. J. 1 (2000) 46], allowing for the exact evaluation of the finite-time survival probability for discrete, dependent, individual claims, Poisson claim arrivals and arbitrary, increasing premium income function is derived. Its numerical efficiency is studied, using the Mathematica system. Numerical results are provided and computational aspects are discussed. A Mathematica module, realizing the Picard and Lefèvre [Scand. Actu. J. 1 (1997) 58] formula has also been developed and used for numerical investigations.
Keywords
Arbitrary premium income function , Discrete , individual claims , Finite-time ruin probability , Dependent
Journal title
Insurance Mathematics and Economics
Serial Year
2001
Journal title
Insurance Mathematics and Economics
Record number
1542440
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