How to calculate ruin probabilities according to the classical risk theory

DOI10.1080/03461238.1977.10405069zbMATH Open0361.62097OpenAlexW2042743280MaRDI QIDQ4134785FDOQ4134785

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

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

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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