Abstract
In many risk theoretical questions a central problem is the numerical evaluation of a convolution integral and much effort has been devoted over the years to mathematical and computational aspects. The paper presented to this colloquium by O. Thorin shows the subject to be topical but the present note stems from a recent paper by H. L. Seal, "Simulation of the ruin potential of non-life insurance companies", published in the Transactions of the Society of Actuaries, Volume XXI page 563.
Volume
6:2
Page
129-133
Year
1971
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Publications
ASTIN Bulletin
