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An Improved Finite-Time Ruin Probability Formula and Its Mathematica Implementation
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| Organization: | Sofia University, Sofia, Bulgaria |
| Organization: | Bulgarian Academy of Sciences, Sofia, Bulgaria |
| Organization: | Bulgarian Academy of Sciences, Sofia, Bulgaria; Sofia University, Sofia, Bulgaria |
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| Insurance Mathematics and Economics |
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An improved version of a ruin probability formula due to Ignatov and Kaishev [Scand. Actu. J. 1 (2000) 46], allowing for the exact evaluation of the finite-time survival probability for discrete, dependent, individual claims, Poisson claim arrivals and arbitrary, increasing premium income function is derived. Its numerical efficiency is studied, using the Mathematica system. Numerical results are provided and computational aspects are discussed. A Mathematica module, realizing the Picard and Lefèvre [Scand. Actu. J. 1 (1997) 58] formula has also been developed and used for numerical investigations.
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finite-time ruin probability, discrete, dependent, individual claims, arbitrary premium income function
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