Approximating the density of the time to ruin via Fourier-cosine series expansion
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Cites work
- A novel pricing method for European options based on Fourier-cosine series expansions
- A remark on the moments of ruin time in classical risk theory
- An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions
- Approximations for the moments of ruin time in the compound Poisson model
- Authors’ Reply: On the Class of Erlang Mixtures with Risk Theoretic Applications - Discussion by Saralees Nadarajah
- DISTRIBUTION OF THE TIME TO RUIN IN SOME SPARRE ANDERSEN RISK MODELS
- Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
- Erlang risk models and finite time ruin problems
- Explicit Solutions for Survival Probabilities in the Classical Risk Model
- Finite time ruin problems for the Erlang(2) risk model
- Fourier-cosine method for Gerber-Shiu functions
- Fourier-cosine method for ruin probabilities
- Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions
- Linear partial differential equations and Fourier theory
- Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model
- Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
- On the Density and Moments of the Time of Ruin with Exponential Claims
- On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
- On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
- On the Time Value of Ruin
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
- Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin
- The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims
- The Density of the Time to Ruin in the Classical Poisson Risk Model
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
- Two-dimensional Fourier cosine series expansion method for pricing financial options
Cited in
(16)- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion
- A Fourier-cosine method for finite-time ruin probabilities
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation
- Statistical estimation for some dividend problems under the compound Poisson risk model
- Finite-time dividend problems in a Lévy risk model under periodic observation
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
- Finite-time expected present value of operating costs until ruin in a two-dimensional risk model with periodic observation
- Computing Gerber-Shiu function in the classical risk model with interest using collocation method
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