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

DOI10.1016/J.CAM.2015.06.003MaRDI QIDQ898973zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

orthogonal polynomialsultimate ruin probabilitycompound Poisson modelLaplace transform inversionnatural exponential families with quadratic variance functionsgamma series expansion

Mathematics Subject Classification ID

Approximations to statistical distributions (nonasymptotic) (62E17) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

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Cited in

(21)

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

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