This paper deals with the ruin probability evaluation in a classical risk theory model, under different hypotheses about claims distribution. Our approach is totally innovative, and is based on the application of the Mean-Value Theorem to solve the associated Volterra integral equation. The numerical experiments show that the procedure we are proposing works well in all circumstances, compared to other pre-existing methodologies.
Evaluating Ruin Probabilities: A Streamlined Approach / DE ANGELIS, Paolo; DE MARCHIS, Roberto; Marino, Mario; Martire, ANTONIO LUCIANO; Oliva, Immacolata. - In: APPLIED MATHEMATICS E-NOTES. - ISSN 1607-2510. - 21(2021), pp. 634-642.
Evaluating Ruin Probabilities: A Streamlined Approach
Paolo De Angelis;Roberto De Marchis;Mario Marino;Antonio Luciano Martire;Immacolata Oliva
2021
Abstract
This paper deals with the ruin probability evaluation in a classical risk theory model, under different hypotheses about claims distribution. Our approach is totally innovative, and is based on the application of the Mean-Value Theorem to solve the associated Volterra integral equation. The numerical experiments show that the procedure we are proposing works well in all circumstances, compared to other pre-existing methodologies.| File | Dimensione | Formato | |
|---|---|---|---|
|
Oliva_Evaluating-ruin-probabilities_2021.pdf
solo gestori archivio
Tipologia:
Versione editoriale (versione pubblicata con il layout dell'editore)
Licenza:
Tutti i diritti riservati (All rights reserved)
Dimensione
1.39 MB
Formato
Adobe PDF
|
1.39 MB | Adobe PDF | Contatta l'autore |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
