Some applications of the fast Fourier transform algorithm in insurance mathematics This paper is dedicated to Professor W. S. Jewell on the occasion of his 60th birthday

DOI10.1111/J.1467-9574.1993.TB01406.XzbMATH Open0764.62089OpenAlexW2065194745WikidataQ121233445 ScholiaQ121233445MaRDI QIDQ4036292FDOQ4036292

Susan M. Pitts, Rudolf Grübel, Paul Embrechts

Publication date: 16 May 1993

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9574.1993.tb01406.x

zbMATH Keywords

meanvarianceRichardson extrapolationrisk theorycompound distributionsdiscretization errorprobability of ruinSparre Andersen modelfast Fourier transform algorithmtotal claim size distributionclaim size process

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• Nonparametric estimation of compound distributions with applications in insurance
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• Approximations for compound Poisson and Pólya processes
• A second-order approximation for the variance of a renewal reward process
• A bootstrap procedure for estimating the adjustment coefficients
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Cited In (14)

• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Nonparametric estimation of the finite-time survival probability with zero initial capital in the classical risk model
• A Functional Approach to Approximations for the Individual Risk Model
• The distribution of compound sums of Pareto distributed losses
• Uniform error bounds for a continuous approximation of non-negative random variables
• Dependent defaults and losses with factor copula models
• Error bounds in approximations of random sums using gamma-type operators
• Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
• Fourier based methods for the management of complex life insurance products
• On a nonparametric estimator for ruin probability in the classical risk model
• Computing the extremal index of special Markov chains and queues
• On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
• Decompounding: an estimation problem for Poisson random sums.

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