Finite-time ruin probabilities using bivariate Laguerre series (Q5881715)

scientific article; zbMATH DE number 7662329

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English	Finite-time ruin probabilities using bivariate Laguerre series	scientific article; zbMATH DE number 7662329

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instance of

scholarly article

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title

Finite-time ruin probabilities using bivariate Laguerre series (English)

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Scandinavian Actuarial Journal

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publication date

13 March 2023

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zbMATH Keywords

bivariate Laguerre series

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finite-time ruin probability

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compound Poisson risk model

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partial integro-differential equation

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M/G/1 queue

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describes a project that uses

ActuarialOrthogonalPolynomials

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Algorithm 368

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2022.2089051

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cites work

The Fourier-series method for inverting transforms of probability distributions

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A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process

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Q5802609

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Numerical techniques in Lévy fluctuation theory

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Approximations for the probability of ruin within finite time

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Applied Probability and Queues

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Q3560912

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Convergence rates for M/G/1 queues and ruin problems with heavy tails

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Clearing models for \(M/G/1\) queues

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Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

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Adaptive Laguerre density estimation for mixed Poisson models

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New identities for the partial Bell polynomials

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NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE

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Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses

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Numerical Finite-Time Ruin Probabilities by the Picard-Lef vre Formula

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The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model

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A note on some joint distribution functions involving the time of ruin

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Erlang risk models and finite time ruin problems

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The Density of the Time to Ruin in the Classical Poisson Risk Model

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On the evaluation of finite-time ruin probabilities in a dependent risk model

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Controlling the workload of M/G/1 queues via the \(q\)-policy

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On the Time Value of Ruin

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The Time Value of Ruin in a Sparre Andersen Model

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Orthogonal polynomial expansions to evaluate stop-loss premiums

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A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model

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Polynomial approximations for bivariate aggregate claims amount probability distributions

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The Curious History of Faa di Bruno's Formula

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Laguerre transformation as a tool for the numerical solution of integral equations of convolution type

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Loss Models

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An insurance risk model with Parisian implementation delays

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On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution

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On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model

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Estimation of multivariate generalized gamma convolutions through Laguerre expansions

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A Fourier-cosine method for finite-time ruin probabilities

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Distributional study of finite-time ruin related problems for the classical risk model

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Remarks on Bell and higher order Bell polynomials and numbers

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A table of integrals of the Error functions

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The probability of ruin in finite time with discrete claim size distribution

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On the Ruin Problem of Collective Risk Theory

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Another look at the Picard--Lefèvre formula for finite-time ruin probabilities

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The numerical calculation ofU(w, t), the probability of non-ruin in an interval (0,t)

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Transient analysis of one-sided Lévy-driven queues

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The bivariate Laguerre transform and its applications: numerical exploration of bivariate processes

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Representation and explicit calculation of Finite-time ruin probabilities

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Estimation of ruin probabilities

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On a partial integrodifferential equation of Seal's type

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On the Class of Erlang Mixtures with Risk Theoretic Applications

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Surplus analysis of Sparre Andersen insurance risk processes

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“On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model”, David Landriault and Gordon E. Willmot, April, 2009

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A new efficient method for estimating the Gerber–Shiu function in the classical risk model

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Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion

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Identifiers

DOI

10.1080/03461238.2022.2089051

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5881715