On Numerical Evaluation of Finite Time Survival Probabilities
- 1 August 1999
- journal article
- Published by Cambridge University Press (CUP) in British Actuarial Journal
- Vol. 5 (3), 575-584
- https://doi.org/10.1017/s135732170000057x
Abstract
In this paper we review three algorithms to calculate the probability of ruin/survival in finite time for the classical risk model. We discuss the computational aspects of these algorithms and consider the question of which algorithm should be preferred.Keywords
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