Recursive calculation of time to ruin distributions

Detalhes bibliográficos
Autor(a) principal: Cardoso, Rui M. R.
Data de Publicação: 2002
Outros Autores: Reis, Alfredo D. Egidio dos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/24664
Resumo: In this paper we present a different approach on Dickson and Waters [Astin Bulletin 21 (1991) 199] and De Vylder and Goovaerts [Insurance: Mathematics and Economics 7 (1988) 1] methods to approximate time to ruin probabilities. By means of Markov chain application we focus on the direct calculation of the distribution of time to ruin, and we find that the above recursions appear to be less efficient, although giving the same approximation figures. We show some graphs of the time to ruin distribution for some examples, comparing the different shapes of the densities for different values of the initial surplus. Furthermore, we consider the presence of an upper absorbing barrier and apply the proposed recursion to find ruin probabilities in this case..
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spelling Recursive calculation of time to ruin distributionsProbability of RuinTime to RuinBarrier ProblemsFinite TimeDiscrete Time ModelRecursive CalculationMarkov ChainIn this paper we present a different approach on Dickson and Waters [Astin Bulletin 21 (1991) 199] and De Vylder and Goovaerts [Insurance: Mathematics and Economics 7 (1988) 1] methods to approximate time to ruin probabilities. By means of Markov chain application we focus on the direct calculation of the distribution of time to ruin, and we find that the above recursions appear to be less efficient, although giving the same approximation figures. We show some graphs of the time to ruin distribution for some examples, comparing the different shapes of the densities for different values of the initial surplus. Furthermore, we consider the presence of an upper absorbing barrier and apply the proposed recursion to find ruin probabilities in this case..Elsevier B.V.Repositório da Universidade de LisboaCardoso, Rui M. R.Reis, Alfredo D. Egidio dos2022-06-24T08:35:26Z20022002-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/24664engCardoso, Rui M. R. and Alfredo Egídio dos Reis (2002). “Recursive calculation of time to ruin distributions”. Insurance: Mathematics and Economics. Vol. 30: pp. 219-230.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:54:17Zoai:www.repository.utl.pt:10400.5/24664Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:39.457941Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Recursive calculation of time to ruin distributions
title Recursive calculation of time to ruin distributions
spellingShingle Recursive calculation of time to ruin distributions
Cardoso, Rui M. R.
Probability of Ruin
Time to Ruin
Barrier Problems
Finite Time
Discrete Time Model
Recursive Calculation
Markov Chain
title_short Recursive calculation of time to ruin distributions
title_full Recursive calculation of time to ruin distributions
title_fullStr Recursive calculation of time to ruin distributions
title_full_unstemmed Recursive calculation of time to ruin distributions
title_sort Recursive calculation of time to ruin distributions
author Cardoso, Rui M. R.
author_facet Cardoso, Rui M. R.
Reis, Alfredo D. Egidio dos
author_role author
author2 Reis, Alfredo D. Egidio dos
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Cardoso, Rui M. R.
Reis, Alfredo D. Egidio dos
dc.subject.por.fl_str_mv Probability of Ruin
Time to Ruin
Barrier Problems
Finite Time
Discrete Time Model
Recursive Calculation
Markov Chain
topic Probability of Ruin
Time to Ruin
Barrier Problems
Finite Time
Discrete Time Model
Recursive Calculation
Markov Chain
description In this paper we present a different approach on Dickson and Waters [Astin Bulletin 21 (1991) 199] and De Vylder and Goovaerts [Insurance: Mathematics and Economics 7 (1988) 1] methods to approximate time to ruin probabilities. By means of Markov chain application we focus on the direct calculation of the distribution of time to ruin, and we find that the above recursions appear to be less efficient, although giving the same approximation figures. We show some graphs of the time to ruin distribution for some examples, comparing the different shapes of the densities for different values of the initial surplus. Furthermore, we consider the presence of an upper absorbing barrier and apply the proposed recursion to find ruin probabilities in this case..
publishDate 2002
dc.date.none.fl_str_mv 2002
2002-01-01T00:00:00Z
2022-06-24T08:35:26Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/24664
url http://hdl.handle.net/10400.5/24664
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Cardoso, Rui M. R. and Alfredo Egídio dos Reis (2002). “Recursive calculation of time to ruin distributions”. Insurance: Mathematics and Economics. Vol. 30: pp. 219-230.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier B.V.
publisher.none.fl_str_mv Elsevier B.V.
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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