Título:
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Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory
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Autores:
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Usábel Rodrigo, Miguel Arturo
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Decanato, 1997
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Probabilidades
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Materia = Ciencias: Matemáticas: Teoría de la decisión
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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The Stehfest-Gaver method of inverting Laplace transforms is a very useful tool in approximating non-ruin probabilities. An accuracy of 6 to 10 significant digits is obtained in every case studied (Tables 1,2 and 3) except for Log-normal claim size and large initial reserves where the accuracy of the "exact" values (using Product integration ) is not guaranteed to be more than 5 digits. The efficiency in terms of computational time is also outstanding because we onIy need to evaluate 20 times the Laplace transform of the c.dJ. of the claim size as shown in (1.6).
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En línea:
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https://eprints.ucm.es/id/eprint/27016/1/9717.pdf
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