Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods

DOI10.1007/s11009-012-9316-5zbMath1307.91097OpenAlexW2092048807MaRDI QIDQ479171

Riccardo Gatto, Benjamin Baumgartner

Publication date: 5 December 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/325428/files/11009_2012_Article_9316.pdf

zbMATH Keywords

stabilitysaddlepoint approximationfast Fourier transformupper and lower boundsRichardson's extrapolationcoherent measure of riskprobability of ruinDaniels' exponentLundberg's exponentprobabilites of ruin due to claim and to oscillation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Numerical methods for discrete and fast Fourier transforms (65T50)

Related Items

Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion, The stability of the probability of ruin, Ruin-based risk measures in discrete-time risk models

Uses Software

• R

Cites Work

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