APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
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Publication:4563791
DOI10.1017/asb.2016.27zbMath1390.91326OpenAlexW2519867045MaRDI QIDQ4563791
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2016.27
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
Related Items (12)
Estimating the time value of ruin in a Lévy risk model under low-frequency observation ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Statistical estimation for some dividend problems under the compound Poisson risk model ⋮ Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion ⋮ Finite-time dividend problems in a Lévy risk model under periodic observation ⋮ Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model ⋮ Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
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