Pade approximants for finite time ruin probabilities

被引：2
|
作者：
Tran, Dong Xuan [1 ]
机构：
[1] Univ Pau & Pays Adour, Lab Math Appl, F-64013 Pau, France
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2015年 / 278卷
关键词：
Hyper-exponential; Bade approximants; Matrix exponential representation; Ruin probabilities; Classical; Cramer-Lundberg process; DISTRIBUTIONS;
D O I：
10.1016/j.cam.2014.09.009
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this article, we investigate Pade approximants of hyper-exponential to base on the first moments and the matrix-exponential representation of Pade approximated function. An explicit formula is given for the Laplace transform in the time to calculate finite time ruin probabilities of classical Cramer-Lundberg model. This formula generalizes the ultimate ruin probabilities formula of Asmussen and Rolski (1991) [12]. To illustrate this formula, several numerical examples with different values u are given. (C) 2014 Elsevier B.V. All rights reserved.
引用
收藏
页码：130 / 137
页数：8
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