Probability of failure with discrete claim distribution

• Autorzy: Iwanik J.
• Języki publikacji: EN

Abstrakty

EN

A concept of the probability of failure is introduced. Some popular methods of exact computation of ruin probability are adopted to compute failure probability. Based on the formula presented in [5] a generalization of a ruin probability algorithm is proposed that can also be used for failure probability. The algorithm’s computational complexity is studied and it is proved to be more effective for failure probability than for ruin probability. Finally, some numerical examples for failure probability computations are given.

Słowa kluczowe

EN

failure probability; ruin probability; finite time

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2005
• Tom: Vol. 25, Fasc. 2
• Strony: 307--316
• Opis fizyczny: Bibliogr. 7 poz., wykr.

Twórcy

autor

Iwanik J.

• Institute of Mathematics and Computer Science, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland

Bibliografia

• [1] H. Alkahby, G. Ansong, R. Frempong-Mireku and A. Jalbout, Symbolic computation of Appel polynomials using Maple, Electron. J. Differ. Equ. Conf. 07 (2001), pp. 1-13.
• [2] S. Asmussen, Ruin Probabilities, World Sci. Publ., 2000.
• [3] K. Burnecki, P. Miśta and A. Weron, Ruin probabilities in finite and infinite time, in: Statistical Tools for Finance and Insurance, P. Čižek, W. Härdle and R. Weron (Eds.), Springer, Berlin 2005, pp. 341-379.
• [4] D. Dickson, On numerical evaluation of finite time survival probabilities, British Actuar. J. 5 (1999), III, pp. 575-584.
• [5] Z. Ignatov and V. Kaishev, Two-sided bounds for finite time probability of ruin, Scand. Actuar. J. 1 (2000), pp. 46-62.
• [6] C. Lefevre and P. Picard, The probability of ruin in finite time with discrete claim size distribution, Scand. Actuar. J. 1 (1997), pp. 58-69.
• [7] F. De Vylder and M. Goovaerts, Recursive calculation of finite-time ruin probabilities, Insurance Math. Econom. 7 (1988), pp. 1-8.