Approximate solutions of severity of ruins
Copyright policy )Approximate solutions of severity of ruins
Summary: Let \(G(u,y)\) be the severity of ruin, i.e. the probability that, starting with the initial surplus \(u\), ruin occurs and the deficit at the time of ruin is less than \(y\). The authors determine approximate solutions for the severity of ruin using a numerical algorithm based on cubic spline approximation. The algorithm is performed using Mathematica. Approximations for ruin probability are also obtained.
Applications of statistics to actuarial sciences and financial mathematics, severity of ruin, Probabilistic methods, stochastic differential equations, probability of ruin, approximate solutions, cubic spline approximation
Applications of statistics to actuarial sciences and financial mathematics, severity of ruin, Probabilistic methods, stochastic differential equations, probability of ruin, approximate solutions, cubic spline approximation
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