Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions

DOI10.1137/20M1328580OpenAlexW3168347857MaRDI QIDQ4997380

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

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

numerical integrationGibbs phenomenonLévy subordinatorGerber-Shiu functionsalgebraic indexFourier-cosine method

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)

Related Items (6)

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Infinite series expansion of some finite-time dividend and ruin related functions ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Gerber-Shiu analysis in the compound Poisson model with constant inter-observation times ⋮ A Fourier-cosine method for finite-time ruin probabilities

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