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A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities

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  • Goovaerts, Marc
  • de Vylder, Florian

Abstract

Probabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.

Suggested Citation

  • Goovaerts, Marc & de Vylder, Florian, 1984. "A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 14(1), pages 53-59, April.
    • Handle: RePEc:cup:astinb:v:14:y:1984:i:01:p:53-59_00
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    Cited by:

    1. Ramsay, Colin M., 2003. "A solution to the ruin problem for Pareto distributions," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 109-116, August.
    2. Usabel, Miguel, 1999. "Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 133-142, November.
    3. Mine Cinar & Colton Burns & Nathalie Hilmi & Alain Safa, 2020. "Risk Assessments of Impacts of Climate Changeand Tourism: Lessons for the Mediterranean and Middle East and North African Countries," International Journal of Environmental Sciences & Natural Resources, Juniper Publishers Inc., vol. 24(5), pages 176-187, June.

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