Gzyl, Henryk; Novi-Inverardi, Pier-Luigi; Tagliani, Aldo - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 457-463
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...