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

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      <subfield code="a">Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments</subfield>
      <subfield code="c">Henryk Gzyl,  Pier-Luigi Novi-Inverardi, Aldo Tagliani</subfield>
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      <subfield code="a">In 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.</subfield>
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      <subfield code="t">Insurance : mathematics and economics</subfield>
      <subfield code="d">Oxford : Elsevier, 1990-</subfield>
      <subfield code="x">0167-6687</subfield>
      <subfield code="g">02/09/2013 Volumen 53 Número 2 - septiembre 2013 </subfield>
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