On the evaluation of finite-time ruin probabilities in a dependent risk model

Dimitrina S. Dimitrova, Vladimir K. Kaishev and Shouqi Zhao

Applied Mathematics and Computation, 2016, vol. 275, issue C, 268-286

Abstract: This paper establishes some enlightening connections between the explicit formulas of the finite-time ruin probability obtained by Ignatovand Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical properties of these formulas are investigated and efficient algorithms for computing ruin probability with prescribed accuracy are presented. Extensive numerical comparisons and examples are provided.

Keywords: Finite time ruin probability; Dependent risk modeling; Appell polynomials; Numerical implementation; Order statistics (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:275:y:2016:i:c:p:268-286

DOI: 10.1016/j.amc.2015.11.082

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