A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

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

Published:2016-04 Issue: Volume:296 Page:499-511
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Goffard Pierre-Olivier^ORCID,Loisel Stéphane,Pommeret Denys

Funder

Milliman

AXA

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference28 articles.

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

2. Ruin Probabilities;Asmussen,2010

3. Numerical inversion of Laplace transforms using Laguerre functions;Weeks;J. ACM,1966

4. On the Laguerre method for numerically inverting Laplace transforms;Abate;INFORMS J. Comput.,1995

5. Expansion of probability density functions as a sum of gamma densities with applications in risk theory;Bowers;Trans. Soc. Actuar.,1966

Cited by 19 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model;Statistics & Probability Letters;2024-02

2. Ruin probabilities as functions of the roots of a polynomial;Modern Stochastics: Theory and Applications;2023

3. Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities;Dependence Modeling;2023-01-01

4. Estimating a Var-Type Ruin Measure by Laguerre Series Expansion in Classical Compound Poisson Risk Model;2023

5. Finite-time ruin probabilities using bivariate Laguerre series;Scandinavian Actuarial Journal;2022-07-12

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3