A Fourier-cosine method for finite-time ruin probabilities
Wing Yan Lee, Xiaolong Li, Fangda Liu, Yifan Shi, Sheung Chi Phillip Yam
| Year of publication: |
2021
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|---|---|
| Authors: | Lee, Wing Yan ; Li, Xiaolong ; Liu, Fangda ; Shi, Yifan ; Yam, Sheung Chi Phillip |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 99.2021, p. 256-267
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| Subject: | Algebraic index | Fourier-cosine method | Gibbs Phenomenon | Lévy subordinator | Numerical integration | Rearrangement inequality | Ruin probabilities | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012649221