Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique

M A Usábel

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

Multivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability of ruin is obtained not only by considering initial reserves u but also the severity of ruin y and the surplus before ruin x. This ruin probability can be expressed using an integral equation that can be efficiently solved using the Gaver-Stehfest method of inverting Laplace transforms. This approach can be considered to be an alternative to recursive methods previously used in actuarial literature. © 1999 Elsevier Science B.V.

Original languageEnglish
Pages (from-to)133-142
Number of pages10
JournalInsurance: Mathematics and Economics
Volume25
Issue number2
Publication statusPublished - 16 Nov 1999

Keywords

  • G22
  • IM13
  • IM20
  • Integral equations
  • Laplace transform
  • Multivariate ultimate ruin probability
  • Numerical methods

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