Approximation of the ruin probability using the scaled Laplace transform inversion

Robert M. Mnatsakanov, Khachatur Sarkisian and Artak Hakobyan

Applied Mathematics and Computation, 2015, vol. 268, issue C, 717-727

Abstract: The problem of recovering the ruin probability in the classical risk model based on the scaled Laplace transform inversion is studied. It is shown how to overcome the problem of evaluating the ruin probability at large values of an initial surplus process. Comparisons of proposed approximations with the ones based on the Laplace transform inversions using a fixed Talbot algorithm as well as on the ones using the Trefethen–Weideman–Schmelzer and maximum entropy methods are presented via a simulation study.

Keywords: Classical risk model; Ruin probability; Moment-recovered approximation; Laplace transform inversion; Uniform rate of approximation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:268:y:2015:i:c:p:717-727

DOI: 10.1016/j.amc.2015.06.087

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