Recursive Calculation of Survival Probabilities

David C. M. Dickson · Howard R. Waters

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Probability and Risk Models Probability and Statistical Research Insurance, Mortality, Demography, Risk Management

Abstract

Abstract In this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.

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References

1979An introduction to mathematical risk theory 1981Recursive Evaluation of a Family of Compound Distributions 1988Recursive calculation of finite-time ruin probabilities

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2007On the Class of Erlang Mixtures with Risk Theoretic Applications 2011Randomized observation periods for the compound Poisson risk model: the discounted penalty function 2000The discrete-time risk model with correlated classes of business 2004Collective Risk Theory 1994Some Comments on the Compound Binomial Model 2005On the first time of ruin in the bivariate compound Poisson model 1993On the Stability of Recursive Formulas 1996Reinsurance and ruin

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