A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities
In this contribution we present an iterative algorithm for the calculation of two-sided numerical approximations to the probability of ultimate ruin for the classical risk model, which can be directly used in the case of compounding assets as well. Examples involving claim size distributions for whi...
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| Format: | Article |
| Language: | English |
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University of Bologna
2007-10-01
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| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/1232 |
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doaj-9e4fc3512b8c421b99c0d2d59f93e2b22020-11-24T23:55:33ZengUniversity of BolognaStatistica0390-590X1973-22012007-10-01631132110.6092/issn.1973-2201/12321194A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilitiesLuca BarzantiCorrado CorradiIn this contribution we present an iterative algorithm for the calculation of two-sided numerical approximations to the probability of ultimate ruin for the classical risk model, which can be directly used in the case of compounding assets as well. Examples involving claim size distributions for which the existing recursive algorithms are inherently unable to provide numerical upper and lower bounds are illustrated, showing the merits of the proposed approach.http://rivista-statistica.unibo.it/article/view/1232 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Luca Barzanti Corrado Corradi |
| spellingShingle |
Luca Barzanti Corrado Corradi A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities Statistica |
| author_facet |
Luca Barzanti Corrado Corradi |
| author_sort |
Luca Barzanti |
| title |
A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities |
| title_short |
A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities |
| title_full |
A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities |
| title_fullStr |
A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities |
| title_full_unstemmed |
A stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities |
| title_sort |
stable iterative algorithm for evaluation of upper and lower approximations to ultimate ruin probabilities |
| publisher |
University of Bologna |
| series |
Statistica |
| issn |
0390-590X 1973-2201 |
| publishDate |
2007-10-01 |
| description |
In this contribution we present an iterative algorithm for the calculation of two-sided numerical approximations to the probability of ultimate ruin for the classical risk model, which can be directly used in the case of compounding assets as well. Examples involving claim size distributions for which the existing recursive algorithms are inherently unable to provide numerical upper and lower bounds are illustrated, showing the merits of the proposed approach. |
| url |
http://rivista-statistica.unibo.it/article/view/1232 |
| work_keys_str_mv |
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1725461963865063424 |