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

DOI10.1016/j.cam.2009.11.021zbMath1201.91088OpenAlexW1978999261MaRDI QIDQ847258

Dominik Kortschak, Florin Avram, Hansjoerg 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

inverse Laplace transformPoisson distributionruin probabilityquadrature method

Mathematics Subject Classification ID

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

Related Items (13)

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 ⋮ A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model ⋮ On moments based Padé approximations of ruin probabilities ⋮ Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures ⋮ TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems ⋮ Approximation of the ruin probability using the scaled Laplace transform inversion ⋮ Markov chain approximations to scale functions of Lévy processes ⋮ Phase-type Fitting of scale functions for spectrally negative Lévy processes ⋮ Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments ⋮ Fourier-cosine method for 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 ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

Cites Work

• On ruin probability and aggregate claim representations for Pareto claim size distributions
• A solution to the ruin problem for Pareto distributions.
• Talbot quadratures and rational approximations
• The distribution of compound sums of Pareto distributed losses
• Multi-precision Laplace transform inversion
• What is the Laplace Transform?
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