On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions

On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions

In the present note we consider the classical continuous time model of the collective theory of risk under the assumption that the claimsize distribution is DFR (decreasing failure rate) so that, according to well known queueing results, the ultimate ruin probability turns out to be convex. This pro...

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Main Authors: Luca Barzanti, Corrado Corradi
Format: Article
Language:English
Published: University of Bologna 2007-10-01
Series:Statistica
Online Access:http://rivista-statistica.unibo.it/article/view/1233
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spelling doaj-f2e36133635b48caa8068831d94d3d7a2020-11-24T23:15:42ZengUniversity of BolognaStatistica0390-590X1973-22012007-10-0165221922510.6092/issn.1973-2201/12331195On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributionsLuca BarzantiCorrado CorradiIn the present note we consider the classical continuous time model of the collective theory of risk under the assumption that the claimsize distribution is DFR (decreasing failure rate) so that, according to well known queueing results, the ultimate ruin probability turns out to be convex. This property is exploited to develop a stable recursive formula for the calculation of a numerical upper approximation to the ultimate ruin probability with a remarkable improvement over analogous existing algorithms. Numerical results are reported to show the merits of the proposed approach.http://rivista-statistica.unibo.it/article/view/1233
collection DOAJ
language English
format Article
sources DOAJ
author Luca Barzanti
Corrado Corradi
spellingShingle Luca Barzanti
Corrado Corradi
On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
Statistica
author_facet Luca Barzanti
Corrado Corradi
author_sort Luca Barzanti
title On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
title_short On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
title_full On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
title_fullStr On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
title_full_unstemmed On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
title_sort on the computation of upper approximations to ultimate ruin probabilities in case of dfr claimsize distributions
publisher University of Bologna
series Statistica
issn 0390-590X
1973-2201
publishDate 2007-10-01
description In the present note we consider the classical continuous time model of the collective theory of risk under the assumption that the claimsize distribution is DFR (decreasing failure rate) so that, according to well known queueing results, the ultimate ruin probability turns out to be convex. This property is exploited to develop a stable recursive formula for the calculation of a numerical upper approximation to the ultimate ruin probability with a remarkable improvement over analogous existing algorithms. Numerical results are reported to show the merits of the proposed approach.
url http://rivista-statistica.unibo.it/article/view/1233
work_keys_str_mv AT lucabarzanti onthecomputationofupperapproximationstoultimateruinprobabilitiesincaseofdfrclaimsizedistributions
AT corradocorradi onthecomputationofupperapproximationstoultimateruinprobabilitiesincaseofdfrclaimsizedistributions
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