Template-type: ReDIF-Paper 1.0
Author-Name: Miguel Arturo Usábel Rodrigo
Author-Workplace-Name:
 Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Title: Multivariate characteristics of risk ruin processes using T-years deferred ruin probability
Abstract: Frey and Schmidt (1996) obtained a recursive method of approximating finite time multivariate ruin probability based on a 
	Mc-Laurin expansion for the classical case and exponentially tailed distributions of the claim size. In this work a 
	generalization will be considered, firts beyond the classical case and later, in the classical context, for any 
	distribution of the claim size. It will be also proved that the recursive procedure can be simplified.
Keywords:
 Multivariate risk process; T-years deferred ruin probability; Finite time multivariate ruin probability; Recursive 
	methods; Series expansions.
Length: 17 pages 
Creation-Date: 1998 
Number: 98-04 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra98-04.txt
File-URL: https://eprints.ucm.es/id/eprint/27084/1/9804.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doctra:98-04