Numerical inversion of characteristic functions

DOI10.1080/03461238.1977.10405625MaRDI QIDQ4140337zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3476465 (Why is no real title available?)
• scientific article; zbMATH DE number 3311909 (Why is no real title available?)
• scientific article; zbMATH DE number 3312403 (Why is no real title available?)
• scientific article; zbMATH DE number 3329470 (Why is no real title available?)
• Fourier inversion—distribution functions—long tails
• Numerical inversions of characteristic functions
• The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)

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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