Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula
Numerical finite-time ruin probabilities in the classical actuarial risk model can most easily be obtained by a remarkable formula due to Picard and Lefèvre (1997), via an obvious extension of the Panjer recursions applied to the numerical evaluation of pseudo-compound distributions.
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| Veröffentlicht in: | Scandinavian actuarial journal 1999-01, Vol.1999 (2), p.97-105 |
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| Format: | Artikel |
| Sprache: | eng |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | Numerical finite-time ruin probabilities in the classical actuarial risk model can most easily be obtained by a remarkable formula due to Picard and Lefèvre (1997), via an obvious extension of the Panjer recursions applied to the numerical evaluation of pseudo-compound distributions. |
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| ISSN: | 0346-1238 1651-2030 |
| DOI: | 10.1080/03461239950132598 |