Approximation of the ruin probability using the scaled Laplace transform inversion
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Publication:668180
DOI10.1016/j.amc.2015.06.087zbMath1410.62026OpenAlexW884453199WikidataQ23920326 ScholiaQ23920326MaRDI QIDQ668180
Khachatur Sarkisian, Robert M. Mnatsakanov, Artak Hakobyan
Publication date: 18 March 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc4704700
ruin probabilityLaplace transform inversionclassical risk modeluniform rate of approximationmoment-recovered approximation
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Related Items (9)
Recovery of ruin probability and value at risk from the scaled Laplace transform inversion ⋮ Recovery of quantile and quantile density function using the frequency moments ⋮ De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ Ruin probabilities as functions of the roots of a polynomial ⋮ Approximation of the ultimate ruin probability in the classical risk model using Erlang mixtures ⋮ Polynomial approximations for bivariate aggregate claims amount probability distributions ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums ⋮ Nonparametric density estimation based on the scaled Laplace transform inversion ⋮ Functional sensitivity analysis of ruin probability in the classical risk models
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