NDLI: A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities

Content Provider	Scilit
Author	Goovaerts, Marc de Vylder, Florian
Copyright Year	1984
Description	Probabilities of ruin are solutions of differential or integrodifferential equations. Solving such equations numerically can be performed by means of approximate quadrature formulae for the convolution part of the equation. In this contribution it is shown how applicable recursion formulae, giving results within a prescribed tolerance level, can be obtained. Some numerical results are displayed.
Related Links	https://www.cambridge.org/core/services/aop-cambridge-core/content/view/B3D704CD61AF211DBEB338926B4FFD93/S0515036100004803a.pdf/div-class-title-a-stable-recursive-algorithm-for-evaluation-of-ultimate-ruin-probabilities-div.pdf
Ending Page	59
Page Count	7
Starting Page	53
ISSN	05150361
e-ISSN	17831350
DOI	10.1017/s0515036100004803
Journal	ASTIN Bulletin
Issue Number	1
Volume Number	14
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	1984-04-01
Access Restriction	Open
Subject Keyword	ASTIN Bulletin Automotive Engineering Ruin Probability Numerical Analysis Ordering of Risks
Content Type	Text
Resource Type	Article
Subject	Finance Accounting Economics and Econometrics

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A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities