On the efficient evaluation of ruin probabilities for completely monotone claim distributions-Reference-Cited by-同舟云学术

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On the efficient evaluation of ruin probabilities for completely monotone claim distributions

Published:2010-03 Issue:10 Volume:233 Page:2724-2736
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Albrecher Hansjörg,Avram Florin,Kortschak Dominik

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference13 articles.

1. Ruin Probabilities;Asmussen,2000

2. Talbot quadratures and rational approximations;Trefethen;BIT,2006

3. The ruin problem in case the tail of a distribution is completely monotone;Thorin;Skand. AktuarTidskr.,1973

4. Stochastic Processes for Insurance and Finance;Rolski,1999

5. Handbuch der Laplace-Transformation;Doetsch,1971

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1. Functional sensitivity analysis of ruin probability in the classical risk models;Scandinavian Actuarial Journal;2021-04-14

2. The W, Z scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems;ESAIM: Probability and Statistics;2020

3. On the Padé and Laguerre–Tricomi–Weeks Moments Based Approximations of the Scale Function W and of the Optimal Dividends Barrier for Spectrally Negative Lévy Risk Processes;Risks;2019-12-11

4. Recovery of ruin probability and Value at Risk from the scaled Laplace transform inversion;Journal of Computational and Applied Mathematics;2018-11

5. Ruin probabilities by Padé’s method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér–Lundberg), and high precision approximations with both light and heavy tails;European Actuarial Journal;2018-09-28

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