Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes

DOI10.2143/AST.31.1.994zbMath1088.62516OpenAlexW2093081217MaRDI QIDQ4461281

Miguel A. Usábel

Publication date: 30 March 2004

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.31.1.994

Mathematics Subject Classification ID

Related Items (2)

Fourier/Laplace Transforms and Ruin Probabilities ⋮ Nonparametric estimation of ruin probabilities given a random sample of claims

Cites Work

• Numerical inversion of the Laplace transform: a survey and comparison of methods
• Asymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service time
• Exact and approximate numerical solutions to steady-state single-server queues: \(M/G/1\) -- a unified approach
• The Fourier-series method for inverting transforms of probability distributions
• Waiting-time tail probabilities in queues with long-tail service-time distributions
• Heavy-traffic extreme-value limits for queues
• Calculating the \(M/G/1\) busy-period density and LIFO waiting-time distribution by direct numerical transform inversion
• Gaussian quadrature formulas for the numerica l integration of Bromwich's integral and the inversion of the Laplace transform
• A note on the use of Laguerre polynomials in the inversion of Laplace transforms
• Numerical Inversion of Laplace Transforms of Probability Distributions
• New quadrature formulas for the numerical inversion of the Laplace transform
• Survey of Extrapolation Processes in Numerical Analysis
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