A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model

DOI10.1016/j.cam.2015.06.003zbMath1355.60117OpenAlexW2191927356MaRDI QIDQ898973

Pierre-Olivier Goffard, Denys Pommeret, Stéphane Loisel

Publication date: 21 December 2015

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.2015.06.003

zbMATH Keywords

orthogonal polynomialsLaplace transform inversioncompound Poisson modelultimate ruin probabilitynatural exponential families with quadratic variance functionsgamma series expansion

Mathematics Subject Classification ID

Related Items (17)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses ⋮ Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion ⋮ A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process ⋮ A new efficient method for estimating the Gerber–Shiu function in the classical risk model ⋮ Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities ⋮ Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures ⋮ Matrix representations of life insurance payments ⋮ Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk ⋮ Polynomial approximations for bivariate aggregate claims amount probability distributions ⋮ Approximating the probability density function of a transformation of random variables ⋮ Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion ⋮ Functional sensitivity analysis of ruin probability in the classical risk models

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