Practical approximations for multivariate characteristics of risk processes

M A Usábel

Research output: Contribution to journalArticle

Abstract

The applicability aspects of power series expansions with respect to the arrival intensity, based on recursive algorithms, when approximating multivariate finite time ruin probabilities will be substantially enhanced using double Laplace transforms. We will also prove that power series methodology may be considered as an outstanding complement to diffusion approximations when the time horizon considered is not large. © 1999 Elsevier Science B.V.

Original languageEnglish
Pages (from-to)397-413
Number of pages17
JournalInsurance: Mathematics and Economics
Volume25
Issue number3
Publication statusPublished - 10 Dec 1999

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Finite-time Ruin Probability
Risk Process
Power Series Expansion
Diffusion Approximation
Recursive Algorithm
Power series
Laplace transform
Horizon
Complement
Methodology
Approximation

Keywords

  • Double Laplace transforms
  • Finite time multivariate ruin probability
  • Multiple integrals
  • Power series expansions
  • Recursive procedures

Cite this

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Practical approximations for multivariate characteristics of risk processes. / Usábel, M A.

In: Insurance: Mathematics and Economics, Vol. 25, No. 3, 10.12.1999, p. 397-413.

Research output: Contribution to journalArticle

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