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oai:docta.ucm.es:20.500.14352/641262025-07-09T13:58:55Zcom_20.500.14352_14col_20.500.14352_17

Usábel Rodrigo, Miguel Arturo 2023-06-21T01:36:10Z 2023-06-21T01:36:10Z 1997 2255-5471 https://hdl.handle.net/20.500.14352/64126 https://economicasyempresariales.ucm.es/working-papers-ccee 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). eng https://creativecommons.org/licenses/by-nc-sa/3.0/es/ open access Atribución-NoComercial-CompartirIgual 3.0 España Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory technical report