Fourier-cosine method for ruin probabilities

DOI10.1016/j.cam.2014.12.014zbMath1305.91163OpenAlexW2042060925MaRDI QIDQ2515094

Hailiang Yang, K. W. Chau, Sheung Chi Phillip Yam

Publication date: 11 February 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.12.014

zbMATH Keywords

ruin probabilitiessummation by partsrearrangement inequalitiesPollaczek-Khinchin formulaGibbs phenomenaFourier-cosine method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characteristic functions; other transforms (60E10) Trigonometric approximation (42A10) Derivative securities (option pricing, hedging, etc.) (91G20)

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