Template-type: ReDIF-Paper 1.0
Author-Name: Colin M. Ramsay
Author-Workplace-Name:
 Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Author-Name: Miguel Arturo Usábel Rodrigo
Author-Workplace-Name:
 Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Title: Calculating ruin probabilities via product integration
Abstract: When claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), 
	traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster 
	and more accurate roethods are needed. Product integration can be used in such situations to yield fast and accurate estimates 
	of ruin probabilities because it uses quadrature weights that are suited to the underlying distribution. Tables of ruin 
	probabilities for the Pareto and lognormal distributions are provided.
Keywords: Integral equation; Convergence; Heavy-tailed distributions.
Length: 11 pages 
Creation-Date: 1997
Number: 97-15 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra97-15.txt
File-URL: https://eprints.ucm.es/id/eprint/27013/1/9715.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doctra:97-15