What is it about?
Probability of ultimate ruin and some other quantities are very important in assessing the solvency of an insurance company and in deciding on the reserves it need to keep. The technique explored here is used to compute these quantities numerically since they can't be computed analytically.
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Why is it important?
It is important to assess solvency and to decide on the reserves to be kept from the perspective of the insurance company.
Perspectives
It must be useful for those working in the Actuarial Domain. Fast Fourier Transform is relatively fast and produce the required results with marginal error. Usually, for most of the loss models used for modelling claim severity, exact expressions are not available and hence, this technique due to novelty of its accuracy and speed should be beneficial for the practitioners in Actuarial Domain.
Jagriti Das
Gauhati University
Read the Original
This page is a summary of: Computation of the probability of ultimate ruin and some other actuarial quantities under the classical risk model via Fast Fourier Transform, Model Assisted Statistics and Applications, April 2022, IOS Press,
DOI: 10.3233/mas-220004.
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