On the use of QUADPACK for the calculation of risk theoretical quantities (Q1819519)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the use of QUADPACK for the calculation of risk theoretical quantities |
scientific article |
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On the use of QUADPACK for the calculation of risk theoretical quantities (English)
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1987
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It is shown how the subroutine package Quadpack [\textit{R. Piessens}, \textit{E. de Doncker-Kapenga}, \textit{C. W. Überhuber} and \textit{D. K. Kahaner}, Quadpack. A subroutine package for automatic integration. (1983; Zbl 0508.65005)] for automatic integration can be used successfully for calculating some important risk theoretical quantities: tails of compound distributions, ruin probabilities and stop-loss premiums.
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risk theory
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Fortran
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Quadpack
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automatic integration
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tails of compound distributions
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ruin probabilities
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stop-loss premiums
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