Padé approximants for finite time ruin probabilities

DOI10.1016/J.CAM.2014.09.009MaRDI QIDQ475654zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ruin probabilitiesclassical Cramer-Lundberg processhyper-exponentialmatrix exponential representationPadé approximants

Mathematics Subject Classification ID

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

Recommendations

• On moments based Padé approximations of ruin probabilities
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• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Approximations of the ruin probability in a discrete time risk model
• On finite-time ruin probabilities for general risk models

Cites work

• scientific article; zbMATH DE number 3113174 (Why is no real title available?)
• scientific article; zbMATH DE number 1183924 (Why is no real title available?)
• scientific article; zbMATH DE number 967329 (Why is no real title available?)
• An algorithm for computing a Padé approximant with minimal degree denominator
• Characterizations of generalized hyperexponential distribution functions
• Computational methods in risk theory: a matrix-algorithmic approach
• Fitting with Matrix-Exponential Distributions
• Padé-Legendre interpolants for Gibbs reconstruction
• Robust Padé Approximation via SVD

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

Describes a project that uses

Uses Software

• EMpht

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