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On Numerical Evaluation of Finite Time Survival Probabilities

Published online by Cambridge University Press:  10 June 2011

D.C.M. Dickson
D.C.M. Dickson
Affiliation:
Centre for Actuarial Studies, Faculty of Economics & Commerce, The University of Melbourne, Parkville, Victoria 3052, Australia. Tel: +61(0)3-9344-4727; Fax: +61(0)3-9344-6899; E-mail: ddickson@cupid.ecom.unimelb.edu.au
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Abstract

In this paper we review three algorithms to calculate the probability of ruin/survival in finite time for the classical risk model. We discuss the computational aspects of these algorithms and consider the question of which algorithm should be preferred.

Keywords

Ruin/Survival ProbabilityFinite TimeRecursive Calculation
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 5 , Issue 3 , 01 August 1999 , pp. 575 - 584
Copyright
Copyright © Institute and Faculty of Actuaries 1999

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References

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