A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
type: Item
instance of: scholarly article
title: A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
zbMATH Open document ID: 1355.60117
author: Pierre-Olivier Goffard
author: Stéphane Loisel
author: D. Pommeret
published in: Journal of Computational and Applied Mathematics
publication date: 2015-12-21T00:00:00Z
Mathematics Subject Classification ID: 60K10
Mathematics Subject Classification ID: 62E17
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6522831
zbMATH Keywords: compound Poisson model
zbMATH Keywords: ultimate ruin probability
zbMATH Keywords: natural exponential families with quadratic variance functions
zbMATH Keywords: orthogonal polynomials
zbMATH Keywords: gamma series expansion
zbMATH Keywords: Laplace transform inversion
MaRDI profile type: Publication
full work available at URL: j.cam.2015.06.003
OpenAlex ID: W2191927356
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DOI: 10.1016/J.CAM.2015.06.003
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description: scientific article; zbMATH DE number 6522831