Fourier-cosine method for finite-time Gerber-Shiu functions

DOI10.1137/20M1328580MaRDI QIDQ4997380zbMATH OpenOpenAlexFDO

Authors Xiaolong Li, Yifan Shi, Sheung Chi Phillip Yam, Hailiang Yang

Publication date 29 June 2021

Published in SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/20m1328580

zbMATH Keywords

algebraic indexFourier-cosine methodGerber-Shiu functionsGibbs phenomenonLévy subordinatornumerical integration

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Graph theory (including graph drawing) in computer science (68R10) Computer graphics; computational geometry (digital and algorithmic aspects) (68U05)

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Cites work

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• A new symbolic method for solving linear two-point boundary value problems on the level of operators
• A novel pricing method for European options based on Fourier-cosine series expansions
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• Analysis of a defective renewal equation arising in ruin theory
• Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
• Another look at the Picard--Lefèvre formula for finite-time ruin probabilities
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• Asymptotic Expansions of Fourier Integrals Involving Logarithmic Singularities
• Asymptotic expansions of Fourier transforms of functions with logarithmic singularities
• Asymptotic Representations of Fourier Integrals and the Method of Stationary Phase
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes
• Distributional study of finite-time ruin related problems for the classical risk model
• Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions
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• Estimation of the expected discounted penalty function for Lévy insurance risks
• Exact and asymptotic results for insurance risk models with surplus-dependent premiums
• Fourier-cosine method for Gerber-Shiu functions
• Fourier-cosine method for ruin probabilities
• Gerber-Shiu risk theory
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Cited in

(14)

• A Fourier-cosine method for finite-time ruin probabilities
• Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
• Fourier-cosine method for Gerber-Shiu functions
• Moment and polynomial bounds for ruin-related quantities in risk theory
• The Gerber-Shiu discounted penalty function: a review from practical perspectives
• Estimating the Gerber–Shiu function by Fourier–Sinc series expansion
• PHASE-TYPE APPROXIMATION OF THE GERBER-SHIU FUNCTION
• Computing the Gerber-Shiu function by frame duality projection
• Infinite series expansion of some finite-time dividend and ruin related functions
• Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times
• The valuation of American options with the stochastic liquidity risk and jump risk
• 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
• Finite-time expected present value of operating costs until ruin in Lévy risk models with varying dividend barriers

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