A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
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Publication:898973
DOI10.1016/J.CAM.2015.06.003zbMATH Open1355.60117OpenAlexW2191927356MaRDI QIDQ898973FDOQ898973
Authors: Pierre-Olivier Goffard, Stéphane Loisel, D. Pommeret 
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
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Cites Work
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Cited In (21)
- Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
- Approximation of the equilibrium distribution via extreme value theory: an application to insurance risk
- Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model
- Estimating the Gerber-Shiu function under a risk model with stochastic income by Laguerre series expansion
- Functional sensitivity analysis of ruin probability in the classical risk models
- Ruin probabilities as functions of the roots of a polynomial
- Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
- Finite-time ruin probabilities using bivariate Laguerre series
- Matrix representations of life insurance payments
- Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses
- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Moment and polynomial bounds for ruin-related quantities in risk theory
- On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- Numerical approximations to the probability of ruin
- Approximating the probability density function of a transformation of random variables
- Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures
- Polynomial approximations for bivariate aggregate claims amount probability distributions
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