Calculating Ruin Probabilities via Product Integration

Colin M. Ramsay and Miguel A. Usabel

ASTIN Bulletin, 1997, vol. 27, issue 2, 263-271

Abstract: When claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate methods are needed. Product integration can be used in such situations to yield fast and accurate estimates of ruin probabilities because it uses quadrature weights that are suited to the underlying distribution. Tables of ruin probabilities for the Pareto and lognormal distributions are provided.

Date: 1997
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