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Fourier-cosine method for ruin probabilities - MaRDI portal

Fourier-cosine method for ruin probabilities (Q2515094)

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Fourier-cosine method for ruin probabilities
scientific article

    Statements

    title
    Fourier-cosine method for ruin probabilities (English)
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    author
    K. W. Chau
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    Sheung Chi Phillip Yam
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    Hailiang Yang
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    publication date
    11 February 2015
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    zbMATH Keywords
    Fourier-cosine method
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    ruin probabilities
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    Pollaczek-Khinchin formula
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    Gibbs phenomena
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    summation by parts
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    rearrangement inequalities
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    42A10
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    60E10
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    62P05
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    91G20
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    zbMATH DE Number
    6400718
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    OpenAlex ID
    W2042060925
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