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.

De Angelis, P., De Marchis, R., Marino, M., Martire, A.L., Oliva, I. (2021). Evaluating Ruin Probabilities: A Streamlined Approach. APPLIED MATHEMATICS E-NOTES, 21, 634-642.

Evaluating Ruin Probabilities: A Streamlined Approach

Antonio Martire;
2021-01-01

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.
De Angelis, P., De Marchis, R., Marino, M., Martire, A.L., Oliva, I. (2021). Evaluating Ruin Probabilities: A Streamlined Approach. APPLIED MATHEMATICS E-NOTES, 21, 634-642.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/425845
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