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Fourier-cosine method for Gerber–Shiu functions

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References

2004Lévy Processes and Stochastic Calculus2,040 cited
1998On the Time Value of Ruin786 cited
2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin157 cited
1999Analysis of a defective renewal equation arising in ruin theory155 cited
2006On The Expected Discounted Penalty function for Lévy Risk Processes78 cited
2007On the Gerber–Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution64 cited
2009An algebraic operator approach to the analysis of Gerber–Shiu functions40 cited
2013Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model34 cited
2014Fourier-cosine method for ruin probabilities33 cited

Cited by

2021Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model19 cited
2022Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method19 cited

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