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Document Details : Title: Recursive Calculation of Survival Probabilities Author(s): DICKSON, David C.M. , WATERS, Howard R. Journal: ASTIN Bulletin Volume: 21 Issue: 2 Date: November 1991 Pages: 199-221 DOI: 10.2143/AST.21.2.2005364 Abstract : 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. |
