RT Journal Article
T1 Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique
A1 Usabel Rodrigo, Miguel Arturo
AB Multivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability ofruin is obtained not only by considering initial reserves u but also the severity of ruin y and the surplus before ruin x. Thisruin probability can be expressed using an integral equation that can be efficiently solved using the Gaver–Stehfest methodof inverting Laplace transforms. This approach can be considered to be an alternative to recursive methods previously usedin actuarial literature
PB Elsevier
SN 0167-6687
YR 1999
FD 1999-11
LK https://hdl.handle.net/10016/12733
UL https://hdl.handle.net/10016/12733
LA eng
DS e-Archivo
RD 18 may. 2024