Publication:
Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique

dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorUsabel Rodrigo, Miguel Arturo
dc.date.accessioned2011-12-12T17:14:26Z
dc.date.available2011-12-12T17:14:26Z
dc.date.issued1999-11
dc.description.abstractMultivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability of ruin is obtained not only by considering initial reserves u but also 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 the Gaver–Stehfest method of inverting Laplace transforms. This approach can be considered to be an alternative to recursive methods previously used in actuarial literature
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationInsurance, Mathematics & Economics, Nov. 1999, v. 25, n. 2, pp. 133-142
dc.identifier.doi10.1016/S0167-6687(99)00029-3
dc.identifier.issn0167-6687
dc.identifier.publicationfirstpage133
dc.identifier.publicationissue2
dc.identifier.publicationlastpage142
dc.identifier.publicationtitleInsurance, Mathematics & Economics
dc.identifier.publicationvolume25
dc.identifier.urihttps://hdl.handle.net/10016/12733
dc.language.isoeng
dc.publisherElsevier
dc.relation.publisherversionhttp://doi.dx.org/10.1016/S0167-6687(99)00029-3
dc.rights©Elsevier
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.jelG22
dc.subject.jelIM13
dc.subject.jelIM20
dc.subject.otherMultivariate ultimate ruin probability
dc.subject.otherLaplace transform
dc.subject.otherIntegral equations
dc.subject.otherNumerical methods
dc.titleCalculating multivariate ruin probabilities via Gaver–Stehfest inversion technique
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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