Approximation of the ruin probability using the scaled Laplace transform inversion

Details

• Personal Author:
  Hakobyan A ; Mnatsakanov RM ; Sarkisian K
• Description:
  The problem of recovering the ruin probability in the classical risk model based on the scaled Laplace transform inversion is studied. It is shown how to overcome the problem of evaluating the ruin probability at large values of an initial surplus process. Comparisons of proposed approximations with the ones based on the Laplace transform inversions using a fixed Talbot algorithm as well as on the ones using the Trefethen-Weideman-Schmelzer and maximum entropy methods are presented via a simulation study. [Description provided by NIOSH]
• Subjects:
  Chemistry Chemistry, Analytic Occupational Health Risk Assessment Safety
• Keywords:
  Analytical-chemistry Analytical-models Analytical-processes Author Keywords: Classical Risk Model Biostatistics Laplace Transform Inversion Mathematical-models Moment Recovered Approximation Risk-analysis Ruin Probability Simulation-methods Statistical-analysis Uniform Rate Of Approximation

  More +
• ISSN:
  0096-3003
• Document Type:
  Text
• Genre:
  Journal Article
• Place as Subject:
  OSHA Region 3 ; Pennsylvania ; West Virginia
• CIO:
  National Institute for Occupational Safety and Health (NIOSH)
• Division:
  HELD - Health Effects Laboratory Division
• Topic:
  Workplace Safety & Health
• Location:
  North America
• Volume:
  268
• NIOSHTIC Number:
  nn:20046502
• Citation:
  Appl Math Comput 2015 Oct; 268:717-727
• Contact Point Address:
  Robert M. Mnatsakanov, Department of Statistics, West Virginia University, P.O. Box 6330, Morgantown, WV 26506, USA
• Email:
  rmnatsak@stat.wvu.edu
• Federal Fiscal Year:
  2016
• NORA Priority Area:
  Public Safety
• Peer Reviewed:
  True
• Source Full Name:
  Applied Mathematics and Computation
• Collection(s):
  National Institute for Occupational Safety and Health
• Main Document Checksum:
  urn:sha-512:fb43d268c172ad9bd2dd386dcfe6dfe12e6a1e36923408f65be08ecb0dfdb17df5de33badf151fd8e0eaafe270075457259af6261de9dfebaaa46327e4ba5414
• Download URL:
  https://stacks.cdc.gov/view/cdc/201547/cdc_201547_DS1.pdf
• File Type:
  [PDF - 379.16 KB ]