An improvement to the convolution method of calculating \(\psi\) (u) (Q1096305)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An improvement to the convolution method of calculating \(\psi\) (u) |
scientific article |
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An improvement to the convolution method of calculating \(\psi\) (u) (English)
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1987
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A recent algorithm is used to compute a series of convolutions for the infinite time ruin probability. Three comprehensive tables of such probabilities are presented for a real-life example involving data from 24,000 life insurance policies. Synopses of three related references are provided.
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compound Poisson process
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algorithm
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convolutions
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infinite time ruin probability
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life insurance policies
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