On the efficient evaluation of ruin probabilities for completely monotone claim distributions

DOI10.1016/J.CAM.2009.11.021MaRDI QIDQ847258zbMATHOpenAlexFDO

Authors F. Avram, Dominik Kortschak, Hansjörg Albrecher

Publication date 12 February 2010

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.2009.11.021

zbMATH Keywords

Poisson distributionruin probabilityquadrature methodinverse Laplace transform

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 3444581 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• scientific article; zbMATH DE number 3390197 (Why is no real title available?)
• scientific article; zbMATH DE number 3060406 (Why is no real title available?)
• A solution to the ruin problem for Pareto distributions.
• Multi-precision Laplace transform inversion
• On ruin probability and aggregate claim representations for Pareto claim size distributions
• Talbot quadratures and rational approximations
• The distribution of compound sums of Pareto distributed losses
• What is the Laplace Transform?

Cited in

(17)

• 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
• On moments based Padé approximations of ruin probabilities
• Markov chain approximations to scale functions of Lévy processes
• Phase-type Fitting of scale functions for spectrally negative Lévy processes
• On the computation of upper approximations to ultimate ruin probabilities in case of DFR claimsize distributions
• Complete monotonicity of the probability of ruin and de Finetti's dividend problem
• A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
• Ultimate Ruin Probabilities for Generalized Gamma-Convolutions Claim Sizes
• Recovery of ruin probability and value at risk from the scaled Laplace transform inversion
• On the use of QUADPACK for the calculation of risk theoretical quantities
• Approximation of the ruin probability using the scaled Laplace transform inversion
• Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
• Fourier-cosine method for ruin probabilities
• Functional sensitivity analysis of ruin probability in the classical risk models
• De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information

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