Nonparametric estimation of ruin probabilities given a random sample of claims
From MaRDI portal
Publication:1019521
DOI10.3103/S1066530708010031zbMath1282.62080MaRDI QIDQ1019521
L. L. Ruymgaart, Robert M. Mnatsakanov, Frits H. Ruymgaart
Publication date: 2 June 2009
Published in: Mathematical Methods of Statistics (Search for Journal in Brave)
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Cites Work
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- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Regularized inversion of noisy Laplace transforms
- 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
- Numerical inversion of characteristic functions
- Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes
- Fourier/Laplace Transforms and Ruin Probabilities
- The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
- New quadrature formulas for the numerical inversion of the Laplace transform
- Linear integral equations
