Online Program

Return to main conference page
Saturday, May 19
Computational Statistics
Analyses Using Complex Models
Sat, May 19, 8:30 AM - 10:00 AM
Regency Ballroom A

Recovery of Ruin Probability and Value at Risk from the Scaled Laplace Transform Inversion (304906)


*Adetokunbo Fadahunsi, West Virginia University 

Keywords: Smooth approximation of ruin probability, Rate of approximation, The scaled Laplace transform inversion, Value at risk, Tail-value at risk

We propose three modified approximations of the ruin probability and the inverse function of the ruin probability using the inversion of the scaled values of Laplace transform suggested by Mnatsakanov. The problem of evaluating numerically the tail-value at risk of an insurance portfolio is also discussed briefly. Performances of the proposed constructions are demonstrated via the graphs and tables using several examples.