Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

DOI10.1016/J.INSMATHECO.2013.07.011zbMATH Open1304.91242OpenAlexW2045893128MaRDI QIDQ2513601FDOQ2513601

Pierluigi Novi Inverardi, Aldo Tagliani, Henryk Gzyl

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.07.011

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zbMATH Keywords

Laplace transformmomentsmaximum entropy methodruin problems

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Title not available (Why is that?)
• Information Theory and Statistical Mechanics
• Title not available (Why is that?)
• On the Time Value of Ruin
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• Numerical Inversion of Laplace Transforms Using a Fourier Series Approximation
• Maximum Entropy Density Estimation from Fractional Moments
• Numerical methods for Laplace transform inversion
• Recovering a function from a finite number of moments
• Hausdorff moment problem: Reconstruction of distributions
• Hausdorff moment problem: reconstruction of probability density functions
• Hausdorff moment problem and fractional moments
• Moment-recovered approximations of multivariate distributions: the Laplace transform inver\-sion
• On moments based Padé approximations of ruin probabilities
• On the efficient evaluation of ruin probabilities for completely monotone claim distributions
• Laplace transform inversion on the real line is truly ill-conditioned

Cited In (11)

• Kernel density maximum entropy method with generalized moments for evaluating probability distributions, including tails, from a small sample of data
• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
• Orthogonal polynomial expansions to evaluate stop-loss premiums
• Recovery of ruin probability and value at risk from the scaled Laplace transform inversion
• Functional sensitivity analysis of ruin probability in the classical risk models
• Optimal maximum entropy quantile function for fractional probability weighted moments and its applications in reliability analysis
• Reliability computation via a transformed mixed-degree cubature rule and maximum entropy
• 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
• Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
• Approximation of the ruin probability using the scaled Laplace transform inversion
• A new maximum entropy method for estimation of multimodal probability density function

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