Calculating ruin probabilities via product integration

Colin M. Ramsay and Miguel Arturo Usábel Rodrigo
Additional contact information
Colin M. Ramsay: Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Miguel Arturo Usábel Rodrigo: Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.

No 97-15, Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

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 roethods 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.

Keywords: Integral equation; Convergence; Heavy-tailed distributions. (search for similar items in EconPapers)
Pages: 11 pages
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://eprints.ucm.es/id/eprint/27013/1/9715.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucm:doctra:97-15

Ordering information: This working paper can be ordered from
Facultad de Ciencias Económicas y Empresariales. Campus de Somosaguas, 28223 - POZUELO DE ALARCÓN (MADRID)
https://economicasye ... /working-papers-ccee

Access Statistics for this paper

More papers in Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales Contact information at EDIRC.
Bibliographic data for series maintained by Águeda González Abad ().