Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions (Q4997380)

scientific article; zbMATH DE number 7364336

Language	Label	Description	Also known as
English	Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions	scientific article; zbMATH DE number 7364336

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instance of

scholarly article

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title

Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions (English)

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author

Xiaolong Li

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Yifan Shi

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Sheung Chi Phillip Yam

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Hailiang Yang

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published in

SIAM Journal on Scientific Computing

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publication date

29 June 2021

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zbMATH Keywords

Lévy subordinator

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Gerber-Shiu functions

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Fourier-cosine method

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numerical integration

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algebraic index

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Gibbs phenomenon

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MaRDI profile type

MaRDI publication profile

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cites work

Exact and Asymptotic Results for Insurance Risk Models with Surplus-dependent Premiums

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An algebraic operator approach to the analysis of Gerber-Shiu functions

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On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function

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Static and semistatic hedging as contrarian or conformist bets

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Q5609896

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Fourier-cosine method for Gerber-Shiu functions

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Fourier-cosine method for ruin probabilities

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Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance

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Pricing discrete barrier options and credit default swaps under Lévy processes

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Asymptotic Representations of Fourier Integrals and the Method of Stationary Phase

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Asymptotic Expansions of Fourier Integrals Involving Logarithmic Singularities

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

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Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions

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A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

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On The Expected Discounted Penalty function for Lévy Risk Processes

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On the discounted penalty at ruin in a jump-diffusion and the perpetual put option

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On the Time Value of Ruin

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The Time Value of Ruin in a Sparre Andersen Model

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Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform

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Q3523756

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Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

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Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions

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Computing the finite-time expected discounted penalty function for a family of Lévy risk processes

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Gerber-Shiu risk theory

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On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution

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On finite-time ruin probabilities for classical risk models

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METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES

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The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion

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On a general class of renewal risk process: analysis of the Gerber-Shiu function

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Distributional study of finite-time ruin related problems for the classical risk model

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The expected discounted penalty function: from infinite time to finite time

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Analysis of a defective renewal equation arising in ruin theory

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The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

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On the expected discounted penalty function for a perturbed risk process driven by a subordinator

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Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model

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A new symbolic method for solving linear two-point boundary value problems on the level of operators

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Solving and factoring boundary problems for linear ordinary differential equations in differential algebras

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Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options

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Another look at the Picard--Lefèvre formula for finite-time ruin probabilities

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Q4937701

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Estimation of the expected discounted penalty function for Lévy insurance risks

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Non-parametric estimation of the Gerber–Shiu function for the Wiener–Poisson risk model

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Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion

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Surplus analysis of Sparre Andersen insurance risk processes

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Asymptotic expansions of Fourier transforms of functions with logarithmic singularities

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Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

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Estimating the Gerber–Shiu function by Fourier–Sinc series expansion

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Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model

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full work available at URL

https://doi.org/10.1137/20m1328580

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Identifiers

DOI

10.1137/20M1328580

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4997380