Numerical evaluation of ruin probabilities for a finite period*

Olof Thorin and Nils Wikstad

ASTIN Bulletin, 1973, vol. 7, issue 2, 137-153

Abstract: In this paper the authors remind of the known formulas for the double Laplace-Stieltjes transforms of the ruin probabilities ψ(u, t), where u is the initial risk reserve and t stands for the operational time, in the case of independent interoccurence times and claim amounts such that the interoccurrence times are identically distributed Κ(t), t ≥ o, Κ(o) = o, and the claim amounts are identically distributed P(y), — ∞

Date: 1973
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