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Approximation of the ruin probability using the scaled Laplace transform inversion
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...
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| Publicado no: | Appl Math Comput |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2015
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4704700/ https://ncbi.nlm.nih.gov/pubmed/26752796 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.amc.2015.06.087 |
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