A Fourier-cosine method for finite-time ruin probabilities

Lee, Y; Li, XL; Liu, FD; Shi, YF; Yam, SCP

Liu, FD (corresponding author), Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON, Canada.

INSURANCE MATHEMATICS & ECONOMICS, 2021; 99 (): 256

Abstract

In this paper, we study the finite-time ruin probability in the risk model driven by a Levy subordinator, by incorporating the popular Fourier-cosine ......

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