APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION

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. So...

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Bibliographic Details
Published in:ASTIN Bulletin : The Journal of the IAA 2017-01, Vol.47 (1), p.169-198
Main Author: Zhang, Zhimin
Format: Article
Language:English
Subjects:
Actuarial science
Fourier transforms
Laplace transforms
Random variables
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Summary: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.
ISSN:0515-0361
1783-1350
DOI:10.1017/asb.2016.27