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

DOI10.1016/J.CAM.2009.11.021zbMATH Open1201.91088OpenAlexW1978999261MaRDI QIDQ847258FDOQ847258

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

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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)

Cites Work

• Multi-precision Laplace transform inversion
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• What is the Laplace Transform?
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• Talbot quadratures and rational approximations
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• A solution to the ruin problem for Pareto distributions.
• The distribution of compound sums of Pareto distributed losses
• On ruin probability and aggregate claim representations for Pareto claim size distributions
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (17)

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

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