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Recursive Calculation of Survival Probabilities

Published online by Cambridge University Press:  29 August 2014

David C. M. Dickson*
Affiliation:
Heriot-Watt University, Edinburgh, United Kingdom
Howard R. Waters*
Affiliation:
Heriot-Watt University, Edinburgh, United Kingdom
*
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom.
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom.
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Abstract

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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.

Type
Articles
Copyright
Copyright © International Actuarial Association 1991

References

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