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Explicit Solutions for Survival Probabilities in the Classical Risk Model
| Content Provider | Scilit |
|---|---|
| Author | Garcia, Jorge M. A. |
| Copyright Year | 2005 |
| Description | The purpose of this paper is to show that, for the classical risk model, explicit expressions for survival probabilities in a finite time horizon can be obtained through the inversion of the double Laplace transform of the distribution of time to ruin. To do this, we consider Gerber and Shiu (1998) and a particular value for their penalty function. Although other methods to address the problem exist, we find this approach, perhaps, more direct and simple. For the analytic inversion, we have applied twice, after some algebra, the Laplace complex inversion formula. |
| Related Links | http://journals.cambridge.org/article_S0515036100014082 https://www.cambridge.org/core/services/aop-cambridge-core/content/view/D5EE98F2ADA10E87838D551C6E77D542/S0515036100014082a.pdf/div-class-title-explicit-solutions-for-survival-probabilities-in-the-classical-risk-model-div.pdf |
| Ending Page | 130 |
| Page Count | 18 |
| Starting Page | 113 |
| ISSN | 05150361 |
| e-ISSN | 17831350 |
| DOI | 10.1017/s0515036100014082 |
| Journal | ASTIN Bulletin |
| Issue Number | 1 |
| Volume Number | 35 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2005-05-01 |
| Access Restriction | Open |
| Subject Keyword | ASTIN Bulletin Statistics and Probability Classical Risk Model Double Laplace Transform Time To Ruin Ruin Probabilities |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Accounting Economics and Econometrics |
