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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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| Τόπος έκδοσης: | Appl Math Comput |
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| Κύριοι συγγραφείς: | , , |
| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
2015
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| Θέματα: | |
| Διαθέσιμο Online: | 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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