Universidad Complutense de Madrid
E-Prints Complutense

Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory

Impacto

Downloads

Downloads per month over past year



Usábel Rodrigo, Miguel Arturo (1997) Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory. [ Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales; nº 17, 1997, ISSN: 2255-5471 ]

[img]
Preview
PDF
Creative Commons Attribution Non-commercial Share Alike.

618kB

Official URL: http://eprints.ucm.es/27016/




Abstract

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).


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Modelos matemáticos; Riesgo.
Subjects:Sciences > Mathematics > Probabilities
Sciences > Mathematics > Bayesian statistical decision theory
Series Name:Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales
Volume:1997
Number:17
ID Code:27016
Deposited On:10 Oct 2014 16:04
Last Modified:26 Aug 2015 12:17

Origin of downloads

Repository Staff Only: item control page