On the evaluation of finite-time ruin probabilities in a dependent risk model

被引：7
|
作者：
Dimitrova, Dimitrina S. [1 ]
Kaishev, Vladimir K. [1 ]
Zhao, Shouqi [1 ]
机构：
[1] City Univ London, Fac Actuarial Sci & Insurance, Cass Business Sch, London EC1Y 8TZ, England
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2016年 / 275卷
关键词：
Finite time ruin probability; Dependent risk modeling; Appell polynomials; Numerical implementation; Order statistics; INSURANCE;
D O I：
10.1016/j.amc.2015.11.082
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper establishes some enlightening connections between the explicit formulas of the finite-time ruin probability obtained by Ignatovand Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical properties of these formulas are investigated and efficient algorithms for computing ruin probability with prescribed accuracy are presented. Extensive numerical comparisons and examples are provided. (C) 2015 Elsevier Inc. All rights reserved.
引用
收藏
页码：268 / 286
页数：19
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