Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8901896 | Journal of Computational and Applied Mathematics | 2018 | 21 Pages |
Abstract
In this paper, we propose three modified approximations of the ruin probability and the inverse function of the ruin probability using the inversion of the scaled values of Laplace transform suggested by Mnatsakanov et al. (2015). The problem of evaluating numerically the tail-Value at Risk of an insurance portfolio is also discussed briefly. Performances of the proposed constructions are demonstrated via the graphs and tables using several examples.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
A.I. Fadahunsi, R.M. Mnatsakanov,