Search

Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments

MARC record
Tag12Value
LDR  00000cab a2200000 4500
001  MAP20130032986
003  MAP
005  20131010175427.0
008  131008e20130902esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
1001 ‎$0‎MAPA20130014128‎$a‎Gzyl, Henryk
24510‎$a‎Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments‎$c‎Henryk Gzyl, Pier-Luigi Novi-Inverardi, Aldo Tagliani
520  ‎$a‎In this work we present two different numerical methods to determine the probability of ultimate ruin as a function of the initial surplus. Both methods use moments obtained from the PollaczekKinchine identity for the Laplace transform of the probability of ultimate ruin. One method uses fractional moments combined with the maximum entropy method and the other is a probabilistic approach that uses integer moments directly to approximate the density.
7730 ‎$w‎MAP20077100574‎$t‎Insurance : mathematics and economics‎$d‎Oxford : Elsevier, 1990-‎$x‎0167-6687‎$g‎02/09/2013 Volumen 53 Número 2 - septiembre 2013
856  ‎$y‎MÁS INFORMACIÓN‎$u‎mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A