A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities

Marc Goovaerts and Florian de Vylder

ASTIN Bulletin, 1984, vol. 14, issue 1, 53-59

Abstract: Probabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.

Date: 1984
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