Chau, K.W.; Yam, S.C.P.; Yang, H. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 170-180

In this article, we provide a systematic study on effectively approximating the Gerber–Shiu functions, which is a hardly touched topic in the current literature, by incorporating the recently popular Fourier-cosine method. Fourier-cosine method has been a prevailing numerical method in option...