A Fourier-cosine method for finite-time ruin probabilities
type: Item
instance of: scholarly article
title: A Fourier-cosine method for finite-time ruin probabilities
zbMATH Open document ID: 1467.91144
author: Wing Yan Lee
author: Xiaolong Li
author: F. Liu
author: Yifan Shi
author: Sheung Chi Phillip Yam
published in: Insurance Mathematics \& Economics
publication date: 2021-07-06T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 7368196
zbMATH Keywords: Lévy subordinator
zbMATH Keywords: ruin probabilities
zbMATH Keywords: Fourier-cosine method
zbMATH Keywords: numerical integration
zbMATH Keywords: algebraic index
zbMATH Keywords: Gibbs phenomenon
zbMATH Keywords: rearrangement inequality
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2021.03.001
OpenAlex ID: W3152081010
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DOI: 10.1016/J.INSMATHECO.2021.03.001
description: scientific article; zbMATH DE number 7368196