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A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
2016
Journal of Computational and Applied Mathematics
A numerical method to approximate ruin probabilities is proposed within the frame of a compound Poisson ruin model. The defective density function associated to the ruin probability is projected in an orthogonal polynomial system. These polynomials are orthogonal with respect to a probability measure that belongs to a Natural Exponential Family with Quadratic Variance Function (NEF-QVF). The method is convenient in at least four ways. Firstly, it leads to a simple analytical expression of the
doi:10.1016/j.cam.2015.06.003
fatcat:lvkoaolxljgp5ge7ufs5xik44i