Template-type: ReDIF-Paper 1.0
Author-Name: Miguel Arturo Usábel Rodrigo
Author-Workplace-Name:
 Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Title: Applications of Gaver-Stehfest method of inverting laplace transforms to ruin theory
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).
Keywords: Modelos matemáticos; Riesgo.
Length: 16 pages 
Creation-Date: 1997
Number: 97-17 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra97-17.txt
File-URL: https://eprints.ucm.es/id/eprint/27016/1/9717.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doctra:97-17