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.
|Number of pages||10|
|Journal||Insurance: Mathematics and Economics|
|Publication status||Published - 16 Nov 1999|
- Integral equations
- Laplace transform
- Multivariate ultimate ruin probability
- Numerical methods