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Autor Usábel Rodrigo, Miguel Arturo |
Documentos disponibles escritos por este autor (11)
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The Stehfest-Gaver method of inverting Laplace transforms is a very useful tool in approximating non-ruin probabilities. An accuracy of 6 to 10 significant digits is obtained in every case studied (Tables 1,2 and 3) except for Log-normal claim s[...]![]()
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The evaluation of multiple integrals is a commonly encountered problem in risk theory, specially in ruin probability. Using Monte Carlo simulation we will obtain an unbiased and consistent point estimator, and also confidence intervals as approx[...]![]()
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Multivariate characteristic of risk processes are of high interest to academic actuaries. In such modele the probability of ruin ie obtained not only considering initial reserves u but the severity of ruin y and the surplus before ruin x. This r[...]![]()
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Ramsay, Colin M. ; Usábel Rodrigo, Miguel Arturo | Facultad de Ciencias Económicas y Empresariales. Decanato | 1997When claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, fa[...]![]()
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The non-ruin probability, for initial reserves u, in the classical can be calculated using the so-called Bromwich-Mellin inversion formula, an outstanding result from Residues Theory first introduced for these purposes by Seal(1977) for exponent[...]![]()
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El presente trabajo se centra en estos dos aspectos: El primero es confirmar que los distintos métodos expuestos de cálculo recursivo de funciones son adecuados para obtener el valor de la probabilidad del suceso supervivencia (complementario de[...]![]()
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In many empirical situations (e.g.:Libor), the rate of interest will remain fixed at a certain level(random instantaneous rate &i) for a random period of time(ti) until a new random rate should be considered, &i+ 1, that will remain for ti+ 1, w[...]![]()
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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 general[...]![]()
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The so-called Renewal Theory is a frequently used methodology in applied mathematics. Renewal Theory is mainly focussed on solving a Volterra integral equation of the second kind known as Renewal Integral EquationAn interesting problem arises wh[...]![]()
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Uno de los problemas más frecuentemente abordados por la literatura actuarial es el cálculo de la probabilidad de supervivencia para el horizonte infinito, modelizado mediante una siguiente ecuación de Volterra de segunda clase. Entre los modelo[...]![]()
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In many empirical situations (e.g.:Libor), the rate of interest will remain fixed at a certain level (random instantaneous rate oi) for a random periodof time(ti) until a new random rate should be considered, oi+1, that will remain for ti+1, wai[...]