On moments based Padé approximations of ruin probabilities
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Publication:2431353
completely monotonic distributionexponential mixturesGamma processGaussian quadraturemethod of momentsVandermonde system
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Cites work
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- Classes of probability density functions having Laplace transforms with negative zeros and poles
- Convergence of associated continued fractions revised
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- Fitting combinations of exponentials to probability distributions
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- Matrix interpretations and applications of the continued fraction algorithm
- Moment characterization of matrix exponential and Markovian arrival processes
- Nonsymmetric Lanczos and finding orthogonal polynomials associated with indefinite weights
- On the efficient evaluation of ruin probabilities for completely monotone claim distributions
- On the partial realization problem
- Prony’s Method,Z-Transforms, and Padé Approximation
- Rational ruin problems - a note for the teacher
- Simple approximations of ruin probabilities
- Software for an implementation of Weeks' method for the inverse Laplace transform
- Talbot quadratures and rational approximations
Cited in
(11)- Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
- Determination of the distribution of total loss from the fractional moments of its exponential
- 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
- De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
- Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
- On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
- Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
- Padé approximants for finite time ruin probabilities
- TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
- Approximation of the ruin probability using the scaled Laplace transform inversion
- A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
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