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

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<title>Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments</title>
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<namePart>Gzyl, Henryk</namePart>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Henryk Gzyl,  Pier-Luigi Novi-Inverardi, Aldo Tagliani</note>
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<title>Insurance : mathematics and economics</title>
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<publisher>Oxford : Elsevier, 1990-</publisher>
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<identifier type="issn">0167-6687</identifier>
<identifier type="local">MAP20077100574</identifier>
<part>
<text>02/09/2013 Volumen 53 Número 2 - septiembre 2013 </text>
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