Evaluating Ruin Probabilities: A Streamlined Approach

Autor:	DE ANGELIS, Paolo, Roberto De Marchis, Marino, Mario, Antonio Luciano Martire, Immacolata, Oliva
Přispěvatelé:	De Angelis, Paolo, De Marchis, Roberto, Marino, Mario, Martire, Antonio Luciano, Oliva, Immacolata, DE ANGELIS, Paolo, Luciano Martire, Antonio
Rok vydání:	2021
Předmět:	Ruin probabilities Volterra equations Mean-Value Theorem Numerical approximation Gamma distribution Ruin probabilitie Ruin probability Exponential distribution Weibull distribution Pareto distribution Volterra equation
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::7ba91fdcc2cac744906f1fd6982df0df https://hdl.handle.net/11590/425845 Zobrazit plný text záznamu