Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076552 | Insurance: Mathematics and Economics | 2013 | 7 Pages |
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
Henryk Gzyl, Pier-Luigi Novi-Inverardi, Aldo Tagliani,