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

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 Pollaczek–Kinchine 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.

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Year of publication:	2013
Authors:	Gzyl, Henryk ; Novi-Inverardi, Pier-Luigi ; Tagliani, Aldo
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 2, p. 457-463
Publisher:	Elsevier
Subject:	Ruin problems \| Laplace transform \| Moments \| Maximum entropy method

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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