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.

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

Novi Inverardi, Pier Luigi;Tagliani, Aldo
2013

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.
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H., Gzyl; Novi Inverardi, Pier Luigi; Tagliani, Aldo
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11572/34828
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