Multivariate characteristics of risk ruin processes using T-years deferred ruin probability

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

No 98-04, Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: Frey and Schmidt (1996) obtained a recursive method of approximating finite time multivariate ruin probability based on a Mc-Laurin expansion for the classical case and exponentially tailed distributions of the claim size. In this work a generalization will be considered, firts beyond the classical case and later, in the classical context, for any distribution of the claim size. It will be also proved that the recursive procedure can be simplified.

Keywords: Multivariate risk process; T-years deferred ruin probability; Finite time multivariate ruin probability; Recursive methods; Series expansions. (search for similar items in EconPapers)
Pages: 17 pages
Date: 1998
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