Recovery of ruin probability and value at risk from the scaled Laplace transform inversion

DOI10.1016/J.CAM.2018.04.025zbMath1422.91343OpenAlexW2801574551WikidataQ129925132 ScholiaQ129925132MaRDI QIDQ1639543

A. I. Fadahunsi, Robert M. Mnatsakanov

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.04.025

zbMATH Keywords

value at riskrate of approximationscaled Laplace transform inversionsmooth approximation of ruin probabilitytail-value at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Laplace transform (44A10)

Related Items (1)

Estimating a VaR-type ruin measure by Laguerre series expansion in classical compound Poisson risk model

Cites Work

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• Approximation of the ruin probability using the scaled Laplace transform inversion
• Recovery of a quantile function from moments
• On the efficient evaluation of ruin probabilities for completely monotone claim distributions
• On uniform approximation by some classical Bernstein-type operators.
• Fluctuations of Lévy processes with applications. Introductory lectures
• Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments
• The Theory of Scale Functions for Spectrally Negative Lévy Processes
• Multi-precision Laplace transform inversion

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