Practical approximations for multivariate characteristics of risk processes

M A Usábel

Practical approximations for multivariate characteristics of risk processes

M A Usábel

School of Mathematical & Computer Sciences

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

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
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

Cite this

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title = "Practical approximations for multivariate characteristics of risk processes",

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. {\textcopyright} 1999 Elsevier Science B.V.",

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AB - 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.

KW - Double Laplace transforms

KW - Finite time multivariate ruin probability

KW - Multiple integrals

KW - Power series expansions

KW - Recursive procedures

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VL - 25

SP - 397

EP - 413

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Practical approximations for multivariate characteristics of risk processes

Abstract

Keywords

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