APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
Copyright policy )APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
AbstractIn this paper, the density of the time to ruin is studied in the context of the classical compound Poisson risk model. Both one-dimensional and two-dimensional Fourier-cosine series expansions are used to approximate the density of the time to ruin, and the approximation errors are also obtained. Some numerical examples are also presented to show that the proposed method is very efficient.
- Chongqing University China (People's Republic of)
- Chongqing University China (People's Republic of)
Applications of statistics to actuarial sciences and financial mathematics, Numerical methods (including Monte Carlo methods), Risk theory, insurance, ruin, Fourier transform, density of the time to ruin, COS
Applications of statistics to actuarial sciences and financial mathematics, Numerical methods (including Monte Carlo methods), Risk theory, insurance, ruin, Fourier transform, density of the time to ruin, COS
selected citations These citations are derived from selected sources.This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).21 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Top 10% influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Top 10% impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Top 10%
Citations provided by BIP!Popularity provided by BIP!