Recursive Calculation of Survival Probabilities

David C. M. Dickson and Howard R. Waters

ASTIN Bulletin, 1991, vol. 21, issue 2, 199-221

Abstract: In this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.

Date: 1991
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