Abstract
AbstractIn this paper, the density of the time to ruin is studied in the context of the classical compound Poisson risk model. Both one-dimensional and two-dimensional Fourier-cosine series expansions are used to approximate the density of the time to ruin, and the approximation errors are also obtained. Some numerical examples are also presented to show that the proposed method is very efficient.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
20 articles.
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