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 language | English |
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Pages (from-to) | 397-413 |
Number of pages | 17 |
Journal | Insurance: Mathematics and Economics |
Volume | 25 |
Issue number | 3 |
Publication status | Published - 10 Dec 1999 |
Keywords
- Double Laplace transforms
- Finite time multivariate ruin probability
- Multiple integrals
- Power series expansions
- Recursive procedures