Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

Henryk Gzyl (), Pier-Luigi Novi-Inverardi and Aldo Tagliani

Insurance: Mathematics and Economics, 2013, vol. 53, issue 2, 457-463

Abstract: In this work we present two different numerical methods to determine the probability of ultimate ruin as a function of the initial surplus. Both methods use moments obtained from the Pollaczek–Kinchine identity for the Laplace transform of the probability of ultimate ruin. One method uses fractional moments combined with the maximum entropy method and the other is a probabilistic approach that uses integer moments directly to approximate the density.

Keywords: Ruin problems; Laplace transform; Moments; Maximum entropy method (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:53:y:2013:i:2:p:457-463

DOI: 10.1016/j.insmatheco.2013.07.011

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