On the Padé and Laguerre–Tricomi–Weeks Moments Based Approximations of the Scale Function W and of the Optimal Dividends Barrier for Spectrally Negative Lévy Risk Processes

Florin Avram, Andras Horváth, Serge Provost and Ulyses Solon
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Florin Avram: Laboratoire de Mathématiques Appliquées, Université de Pau, 64000 Pau, France
Andras Horváth: Dipartimento di Informatica, Università di Torino, Corso Svizzera 185, 10149 Torino, Italy
Serge Provost: Department of Statistical and Actuarial Sciences, The University of Western Ontario, London, ON N6A5B7, Canada
Ulyses Solon: Laboratoire de Mathématiques Appliquées, Université de Pau, 64000 Pau, France

Risks, 2019, vol. 7, issue 4, 1-24

Abstract: This paper considers the Brownian perturbed Cramér–Lundberg risk model with a dividends barrier. We study various types of Padé approximations and Laguerre expansions to compute or approximate the scale function that is necessary to optimize the dividends barrier. We experiment also with a heavy-tailed claim distribution for which we apply the so-called “shifted” Padé approximation.

Keywords: ruin probability; Pollaczek–Khinchine formula; scale function; optimal dividends; Padé approximations; Laguerre series; Tricomi–Weeks Laplace inversion (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:7:y:2019:i:4:p:121-:d:296915

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