Recovery of ruin probability and Value at Risk from the scaled Laplace transform inversion

被引：1
|
作者：
Fadahunsi, A., I [1 ]
Mnatsakanov, R. M. [1 ]
机构：
[1] West Virginia Univ, Dept Stat, Morgantown, WV 26506 USA
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2018年 / 342卷
关键词：
Smooth approximation of ruin probability; Rate of approximation; The scaled Laplace transform inversion; Value at Risk; Tail-Value at Risk; APPROXIMATION; MOMENTS;
D O I：
10.1016/j.cam.2018.04.025
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we propose three modified approximations of the ruin probability and the inverse function of the ruin probability using the inversion of the scaled values of Laplace transform suggested by Mnatsakanov et al. (2015). The problem of evaluating numerically the tail-Value at Risk of an insurance portfolio is also discussed briefly. Performances of the proposed constructions are demonstrated via the graphs and tables using several examples. (C) 2018 Elsevier B.V. All rights reserved.
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页码：249 / 262
页数：14
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