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Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory

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  • Miguel Arturo Usábel Rodrigo

    ( Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.)

Abstract

The Stehfest-Gaver method of inverting Laplace transforms is a very useful tool in approximating non-ruin probabilities. An accuracy of 6 to 10 significant digits is obtained in every case studied (Tables 1,2 and 3) except for Log-normal claim size and large initial reserves where the accuracy of the "exact" values (using Product integration ) is not guaranteed to be more than 5 digits. The efficiency in terms of computational time is also outstanding because we onIy need to evaluate 20 times the Laplace transform of the c.dJ. of the claim size as shown in (1.6).

Suggested Citation

  • Miguel Arturo Usábel Rodrigo, 1997. "Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory," Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales 97-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • Handle: RePEc:ucm:doctra:97-17
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    Keywords

    Modelos matemáticos; Riesgo.;

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