RT Report
T1 Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory
A1 Usábel Rodrigo, Miguel Arturo
AB 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).
PB Facultad de Ciencias Económicas y Empresariales. Decanato
SN 2255-5471
YR 1997
FD 1997
LK https://hdl.handle.net/20.500.14352/64126
UL https://hdl.handle.net/20.500.14352/64126
LA eng
DS Docta Complutense
RD 4 abr 2025