Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula

F. Etienne De Vylder

Scandinavian Actuarial Journal, 1999, vol. 1999, issue 2, 97-105

Abstract: Numerical finite-time ruin probabilities in the classical actuarial risk model can most easily be obtained by a remarkable formula due to Picard and Lefèvre (1997), via an obvious extension of the Panjer recursions applied to the numerical evaluation of pseudo-compound distributions.

Date: 1999
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DOI: 10.1080/03461239950132598

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