On moments based Padé approximations of ruin probabilities

DOI10.1016/j.cam.2011.01.008zbMath1209.91076OpenAlexW2025969189WikidataQ62048458 ScholiaQ62048458MaRDI QIDQ2431353

Yanyan Li

Publication date: 13 April 2011

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.2011.01.008

zbMATH Keywords

Gaussian quadratureVandermonde systemmethod of momentsexponential mixturesGamma processcompletely monotonic distribution

Mathematics Subject Classification ID

Related Items (9)

De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model ⋮ Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process ⋮ Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Approximation of the ruin probability using the scaled Laplace transform inversion ⋮ Determination of the distribution of total loss from the fractional moments of its exponential ⋮ Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments ⋮ Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails

Uses Software

• Algorithm 662
• EMpht

Cites Work

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• Matrix interpretations and applications of the continued fraction algorithm
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• Talbot quadratures and rational approximations
• Classes of probability density functions having Laplace transforms with negative zeros and poles
• Software for an implementation of Weeks' method for the inverse Laplace transform
• Algorithms for Parameter Selection in the Weeks Method for Inverting the Laplace Transform
• Fitting combinations of exponentials to probability distributions
• Prony’s Method,Z-Transforms, and Padé Approximation
• Convergence of associated continued fractions revised

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