APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION. Issue 1 (19th September 2016)
- Record Type:
- Journal Article
- Title:
- APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION. Issue 1 (19th September 2016)
- Main Title:
- APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
- Authors:
- Zhang, Zhimin
- Abstract:
- Abstract: In this paper, the density of the time to ruin is studied in the context of the classical compound Poisson risk model. Both one-dimensional and two-dimensional Fourier-cosine series expansions are used to approximate the density of the time to ruin, and the approximation errors are also obtained. Some numerical examples are also presented to show that the proposed method is very efficient.
- Is Part Of:
- ASTIN bulletin. Volume 47:Issue 1(2017)
- Journal:
- ASTIN bulletin
- Issue:
- Volume 47:Issue 1(2017)
- Issue Display:
- Volume 47, Issue 1 (2017)
- Year:
- 2017
- Volume:
- 47
- Issue:
- 1
- Issue Sort Value:
- 2017-0047-0001-0000
- Page Start:
- 169
- Page End:
- 198
- Publication Date:
- 2016-09-19
- Subjects:
- Density of the time to ruin, -- COS, -- Fourier transform, -- Ruin
Insurance -- Mathematics -- Periodicals
Risk (Insurance) -- Mathematics -- Periodicals
368.01 - Journal URLs:
- http://journals.cambridge.org/action/displayBackIssues?jid=ASB ↗
http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST ↗
http://www.casact.org/library/astin/ ↗ - DOI:
- 10.1017/asb.2016.27 ↗
- Languages:
- English
- ISSNs:
- 0515-0361
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 2589.xml