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
2013-01-01
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.File in questo prodotto:
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Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments .pdf
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