Recursive Calculation of Survival Probabilities

David C. M. Dickson; Howard R. Waters

doi:10.2143/AST.21.2.2005364

Abstract

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In this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.

References

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Crossref Citations

This article has been cited by the following publications. This list is generated based on data provided by Crossref.

Dickson, David C.M. 1992. On the distribution of the surplus prior to ruin. Insurance: Mathematics and Economics, Vol. 11, Issue. 3, p. 191.

Dickson, David C. M. and Waters, Howard R. 1992. The Probability and Severity of Ruin in Finite and Infinite Time. ASTIN Bulletin, Vol. 22, Issue. 2, p. 177.

H. Panjer, Harry and Shaun Wang 1993. On the Stability of Recursive Formulas. ASTIN Bulletin, Vol. 23, Issue. 2, p. 227.

Dickson, David C. M. and Waters, Howard R. 1993. Gamma Processes and Finite Time Survival Probabilities. ASTIN Bulletin, Vol. 23, Issue. 2, p. 259.

Dickson, David C.M. 1993. On the distribution of the claim causing ruin. Insurance: Mathematics and Economics, Vol. 12, Issue. 2, p. 143.

Stanford, D.A. and Stroiński, K.J. 1994. Recursive Methods for Computing Finite-Time Ruin Probabilities for Phase-Distributed Claim Sizes. ASTIN Bulletin, Vol. 24, Issue. 2, p. 235.

Dickson, David C.M. 1994. Some Comments on the Compound Binomial Model. ASTIN Bulletin, Vol. 24, Issue. 1, p. 33.

Dickson, David C. M. 1994. An upper bound for the probability of ultimate ruin. Scandinavian Actuarial Journal, Vol. 1994, Issue. 2, p. 131.

Dickson, David C.M. dos Reis, Alfredo D. Egídio and Waters, Howard R. 1995. Some Stable Algorithms in Ruin Theory and Their Applications. ASTIN Bulletin, Vol. 25, Issue. 2, p. 153.

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Dickson, David C. M. and Egídio Dos Reis, Alfredo D. 1996. On the distribution of the duration of negative surplus. Scandinavian Actuarial Journal, Vol. 1996, Issue. 2, p. 148.

Dickson, David C.M. and Waters, Howard R. 1996. Reinsurance and ruin. Insurance: Mathematics and Economics, Vol. 19, Issue. 1, p. 61.

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Dickson, D.C.M. 1999. On Numerical Evaluation of Finite Time Survival Probabilities. British Actuarial Journal, Vol. 5, Issue. 3, p. 575.

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Dickson, David C.M. and Waters, Howard R. 1999. Ruin probabilities with compounding assets. Insurance: Mathematics and Economics, Vol. 25, Issue. 1, p. 49.

Stanford, David A. Stroiński, Krzysztof J. and Lee, Karen 2000. Ruin probabilities based at claim instants for some non-Poisson claim processes. Insurance: Mathematics and Economics, Vol. 26, Issue. 2-3, p. 251.

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Article contents

Recursive Calculation of Survival Probabilities

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References

This article has been cited by the following publications. This list is generated based on data provided by Crossref.

Article contents

Recursive Calculation of Survival Probabilities

Abstract

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References

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