A Fourier-cosine method for finite-time ruin probabilities
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Publication:2038248
DOI10.1016/j.insmatheco.2021.03.001zbMath1467.91144OpenAlexW3152081010MaRDI QIDQ2038248
Wing Yan Lee, Sheung Chi Phillip Yam, Xiaolong Li, Yifan Shi, Fangda Liu
Publication date: 6 July 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.03.001
numerical integrationGibbs phenomenonrearrangement inequalityruin probabilitiesLévy subordinatoralgebraic indexFourier-cosine method
Related Items
Finite-time ruin probabilities using bivariate Laguerre series, Moment and polynomial bounds for ruin-related quantities in risk theory, Infinite series expansion of some finite-time dividend and ruin related functions, Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times, Nonparametric estimation of some dividend problems in the perturbed compound Poisson model, The Markovian shot-noise risk model: a numerical method for Gerber-Shiu functions
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