Approximations for multivariate characteristics of classical risk ruin processes

Miguel Arturo Usábel Rodrigo
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Miguel Arturo Usábel Rodrigo: Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.

No 98-01, Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity of ruin y and the surplus before ruin x. This ruin probability can be expressed using an integral equation that can be efficiently solved using Gaver-Stehfest method of invertig Laplace transforms.

Keywords: Multivariate ultimate ruin probability; Laplace transform; Integral equations; Numerical methods. (search for similar items in EconPapers)
Pages: 6 pages
Date: 1998
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