How to calculate ruin probabilities according to the classical risk theory

DOI10.1080/03461238.1977.10405069MaRDI QIDQ4134785zbMATH OpenOpenAlexFDO

Authors Nils Wikstad

Publication date 1977

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1977.10405069

Mathematics Subject Classification ID

Applications of statistics (62P99) Numerical methods for integral equations (65R20)

Cites work

• A root-finding algorithm based on Newton's method
• A rule of thumb and its verification
• New quadrature formulas for the numerical inversion of the Laplace transform
• Ruin probabilities prepared for numerical calculation

Cited in

(4)

• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• Probabilities of ruin
• Practical approximations for multivariate characteristics of risk processes
• The ruin problem for mixed poisson risk processes

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