Finite-time ruin probabilities using bivariate Laguerre series
Author:
Affiliation:
1. School of Risk and Actuarial Studies, UNSW Business School, University of New South Wales, Sydney, Australia
2. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada
Funder
Australian Research Council
Natural Sciences and Engineering Research Council of Canada
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03461238.2022.2089051
Reference61 articles.
1. The Fourier-series method for inverting transforms of probability distributions
2. A Workout in Computational Finance
3. A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
4. On a gamma series expansion for the time-dependent probability of collective ruin
5. Some problems in the collective theory of risk
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