Numerical inversion of characteristic functions

DOI10.1080/03461238.1977.10405625zbMath0365.65075OpenAlexW2106278878MaRDI QIDQ4140337

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)

Related Items (4)

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

Cites Work

• Numerical inversions of characteristic functions
• Fourier inversion—distribution functions—long tails
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)
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