Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
From MaRDI portal
(Redirected from Publication:1962823)
Recommendations
- Simultaneous ruin probability for multivariate Gaussian risk model
- The ruin probabilities of a multidimensional perturbed risk model
- Evaluating ruin probabilities: a streamlined approach
- scientific article; zbMATH DE number 4143312
- Ruin probabilities in perturbed risk models
- Approximation of the ruin probability using the scaled Laplace transform inversion
- The probability of ruin for the inverse Gaussian and related processes
- Computing ruin probability in the classical risk model
- Multirisks model and finite-time ruin probabilities
Cites work
- A Fortran 90-based multiprecision system
- A note on the use of Laguerre polynomials in the inversion of Laplace transforms
- Algorithm 719: Multiprecision translation and execution of FORTRAN programs
- Fourier inversion—distribution functions—long tails
- How to calculate ruin probabilities according to the classical risk theory
- scientific article; zbMATH DE number 486467 (Why is no real title available?)
- scientific article; zbMATH DE number 3444581 (Why is no real title available?)
- scientific article; zbMATH DE number 3346026 (Why is no real title available?)
- scientific article; zbMATH DE number 3347420 (Why is no real title available?)
- scientific article; zbMATH DE number 3390196 (Why is no real title available?)
- scientific article; zbMATH DE number 3400293 (Why is no real title available?)
- scientific article; zbMATH DE number 3187905 (Why is no real title available?)
- New quadrature formulas for the numerical inversion of the Laplace transform
- Numerical inversion of characteristic functions
- Numerical Inversion of Laplace Transforms Using Laguerre Functions
- Numerical inversion of the Laplace transform: a survey and comparison of methods
- Numerical inversions of characteristic functions
- On the distribution of the claim causing ruin
- Recursive calculation of the probability and severity of ruin
- Ruin probabilities prepared for numerical calculation
- Taylor-series expansion for multivariate characteristics of classical risk processes
- The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
- The surpluses immediately before and at ruin, and the amount of the claim causing ruin
Cited in
(12)- A solution to the ruin problem for Pareto distributions.
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Practical approximations for multivariate characteristics of risk processes
- A numerical method for the expected penalty-reward function in a Markov-modulated jump-diffusion process
- 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
- Evaluation and default time for companies with uncertain cash flows
- Compliance of the Token-Bucket Model with Markovian Traffic
- Risk processes analyzed as fluid queues
- Liquidation risk for exponential spectrally negative Lévy processes
- Macro-economic version of a classical formula in risk theory
- Liquidation risk in insurance under contemporary regulatory frameworks
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
This page was built for publication: Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1962823)
