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

Paolo De Angelis;Mario Marino;
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.
2021
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https://www.emis.de/journals/AMEN/
https://www.math.nthu.edu.tw/~amen/2021/AMEN-201113.pdf
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/3035660
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