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