Numerical inversion of characteristic functions

DOI10.1080/03461238.1977.10405625zbMATH Open0365.65075OpenAlexW2106278878MaRDI QIDQ4140337FDOQ4140337

Authors: Hilary L. Seal 

Publication date: 1977

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1977.10405625

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Laplace transform (44A10)

Cites Work

• Title not available (Why is that?)
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• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
• Numerical inversions of characteristic functions
• Title not available (Why is that?)
• Fourier inversion—distribution functions—long tails

Cited In (4)

• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• A solution to the ruin problem for Pareto distributions.
• Nonparametric estimation of ruin probabilities given a random sample of claims
• Practical approximations for multivariate characteristics of risk processes

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