Approximation of the ruin probability using the scaled Laplace transform inversion

Mnatsakanov, Robert M.; Sarkisian, Khachatur; Hakobyan, Artak

doi:10.1016/j.amc.2015.06.087

i

Approximation of the ruin probability using the scaled Laplace transform inversion

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Oct 1 2015
By Mnatsakanov, Robert M. ; Sarkisian, Khachatur ; Hakobyan, Artak

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Alternative Title:

Appl Math Comput
Personal Author:

Mnatsakanov, Robert M. ; Sarkisian, Khachatur ; Hakobyan, Artak
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.
Subjects:

Article Classical Risk Model Laplace Transform Inversion Moment-recovered Approximation Ruin Probability Uniform Rate Of Approximation
Source:

Appl Math Comput. 268:717-727.
Pubmed ID:

26752796
Pubmed Central ID:

PMC4704700
Document Type:

Journal Article
Funding:

CC999999/Intramural CDC HHS/United States
Volume:

268
Collection(s):

CDC Public Access
Main Document Checksum:

urn:sha256:06b5b9116b79ad9d5b64d294b71d62bbc131dde973ebc1eae019bfe80e75b772
Download URL:

https://stacks.cdc.gov/view/cdc/37434/cdc_37434_DS1.pdf
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[PDF - 914.65 KB ]

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