Abstract
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.
Keywords Survival probability; finite time; infinite time; recursive calculations; numerical stability.
Volume
21:2
Page
199-222
Year
1991
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Analyzing/Quantifying Risks
Financial and Statistical Methods
Aggregation Methods
Collective Risk Model
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Publications
ASTIN Bulletin
