A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model

DOI10.1016/J.CAM.2015.06.003zbMath1355.60117OpenAlexW2191927356MaRDI QIDQ898973

Pierre-Olivier Goffard, Denys Pommeret, Stéphane Loisel

Publication date: 21 December 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.06.003

zbMATH Keywords

orthogonal polynomialsLaplace transform inversioncompound Poisson modelultimate ruin probabilitynatural exponential families with quadratic variance functionsgamma series expansion

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (17)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ A new efficient method for estimating the Gerber–Shiu function in the classical risk model ⋮ Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures ⋮ Matrix representations of life insurance payments ⋮ Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk ⋮ Polynomial approximations for bivariate aggregate claims amount probability distributions ⋮ Approximating the probability density function of a transformation of random variables ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

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