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...

A new insurance provider or a regulatory agency may be interested in determining a risk measure consistent with observed market prices of a collection of risks. Using a relationship between distorted coherent risk measures and spectral risk measures, we provide a method for reconstructing...

The maximum entropy principle provides a variational method to select a measure yielding pre-assigned mean values to a random variable. It can also be invoked to construct measures that render a stochastic process a martingale, thus providing a systematic way of constructing risk-neutral...