Numerical evaluation of ruin probabilities for a finite period

Abstract
In this paper the authors remind of the known formulas for the double Laplacc-Sticltjes transforms of the ruin probabilities (n,l), where u is the initial risk reserve and t stands for the operational time, in the case of independent interoccurence times and claim amounts such that the interoccurrence times are identically distributed
Volume
7:2
Page
137-153
Year
1973
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Publications
ASTIN Bulletin
Authors
Olof Thorin
Nils Wikstad