A solution to the ruin problem for Pareto distributions.

DOI10.1016/S0167-6687(03)00147-1zbMath1055.91056MaRDI QIDQ1413341

Colin M. Ramsay

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Laplace transformVolterra integral equationPoisson processContour integrationExponential integral

Mathematics Subject Classification ID

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Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Integral transforms and their applications. 2nd ed
• Ruin estimates for large claims
• Asymptotic expansions for waiting time probabilities in an \(M/G/1\) queue with long-tailed service time
• Recursive calculation of the probability and severity of ruin
• Calculating multivariate ruin probabilities via Gaver-Stehfest inversion technique
• Numerical inversions of characteristic functions
• Asymptotic ruin probabilities when exponential moments do not exist
• Numerical inversion of characteristic functions
• Numerical Inversion of Laplace Transforms of Probability Distributions
• The numerical solution of non-singular linear integral equations
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