Article ID Journal Published Year Pages File Type
5076552 Insurance: Mathematics and Economics 2013 7 Pages PDF
Abstract
In this work we present two different numerical methods to determine the probability of ultimate ruin as a function of the initial surplus. Both methods use moments obtained from the Pollaczek-Kinchine identity for the Laplace transform of the probability of ultimate ruin. One method uses fractional moments combined with the maximum entropy method and the other is a probabilistic approach that uses integer moments directly to approximate the density.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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