On Numerical Evaluation of Finite Time Survival Probabilities

D.C.M. Dickson

British Actuarial Journal, 1999, vol. 5, issue 3, 575-584

Abstract: In this paper we review three algorithms to calculate the probability of ruin/survival in finite time for the classical risk model. We discuss the computational aspects of these algorithms and consider the question of which algorithm should be preferred.

Date: 1999
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