Padé approximants for finite time ruin probabilities

DOI10.1016/J.CAM.2014.09.009zbMATH Open1301.91020OpenAlexW2091442822MaRDI QIDQ475654FDOQ475654

Authors: Dong Xuan Tran 

Publication date: 27 November 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.09.009

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zbMATH Keywords

ruin probabilitiesclassical Cramer-Lundberg processhyper-exponentialmatrix exponential representationPadé approximants

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Padé approximation (41A21)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Computational methods in risk theory: a matrix-algorithmic approach
• Robust Padé Approximation via SVD
• Title not available (Why is that?)
• Characterizations of generalized hyperexponential distribution functions
• An algorithm for computing a Padé approximant with minimal degree denominator
• Padé-Legendre interpolants for Gibbs reconstruction
• Fitting with Matrix-Exponential Distributions

Cited In (4)

• Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
• On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
• On moments based Padé approximations of ruin probabilities
• Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails

Uses Software

• EMpht

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