An improvement to the convolution method of calculating \(\psi\) (u)

DOI10.1016/0167-6687(87)90031-XzbMath0633.62112MaRDI QIDQ1096305

John A. Beekman, Glenn Meyers

Publication date: 1987

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

algorithmconvolutionscompound Poisson processinfinite time ruin probabilitylife insurance policies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical tables (62Q05)

Related Items

Calculation of the probability of eventual ruin by Beekman's convolution series, On the numerical evaluation of the ultimate ruin probability

Cites Work

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• A series for infinite time ruin probabilities
• A collective risk comparative study
• Calculation of the probability of eventual ruin by Beekman's convolution series
• On the Distribution of the Supremum for Stochastic Processes with Interchangeable Increments