Publication: Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique
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1999-11
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Elsevier
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Abstract
Multivariate 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
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Keywords
Multivariate ultimate ruin probability, Laplace transform, Integral equations, Numerical methods
Bibliographic citation
Insurance, Mathematics & Economics, Nov. 1999, v. 25, n. 2, pp. 133-142