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APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION
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APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION (2016)APPROXIMATING THE DENSITY OF THE TIME TO …Fourier-cosine method for Gerber–Shiu functions (2015)Fourier-cosine method for Ger…Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation (2014)Nonparametric estimation for …Fourier-cosine method for ruin probabilities (2014)Fourier-cosine method for rui…Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model (2013)Nonparametric estimate of the…Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions (2013)Efficient Pricing of European…Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options (2012)Two-Dimensional Fourier Cosin…Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions (2011)Joint densities involving the…Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Pricing early-exercise and di…On the ruin time distribution for a Sparre Andersen process with exponential claim sizes (2008)On the ruin time distribution…A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…On the Class of Erlang Mixtures with Risk Theoretic Applications (2007)On the Class of Erlang Mixtur…The Density of the Time to Ruin in the Classical Poisson Risk Model (2005)The Density of the Time to Ru…The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims (2005)The density of the time to ru…On the Density and Moments of the Time of Ruin with Exponential Claims (2003)On the Density and Moments of…The moments of the time of ruin, the surplus before ruin, and the deficit at ruin (2000)The moments of the time of ru…On the Time Value of Ruin (1998)On the Time Value of RuinMathematical Methods in Risk Theory (1970)An introduction to mathematical risk theory (1979)072103 (E50, M20) Option pricing by Esscher transforms (1995)Optimal Dividends (2004)Insurance Risk and Ruin (2005)Fluctuations of Lévy Processes with Applications (2014)Option pricing when underlying stock returns are discontinuous (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (2011)“Options, Futures, and Other Derivatives” (2016)Insurance Risk Models (1994)Analysis of a defective renewal equation arising in ruin theory (1999)On the discounted penalty function in a Markov-dependent risk model (2005)Modeling and Evaluating Insurance Losses Via Mixtures of Erlang Distributions (2010)Lundberg Approximations for Compound Distributions with Insurance Applications (2001)Insurance: Mathematics and Economics (2004)The Time Value of Ruin in a Sparre Andersen Model (2005)An Insurance Risk Model with Parisian Implementation Delays (2013)Modelling censored losses using splicing: A global fit strategy with mixed Erlang and extreme value distributions (2017)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The Fine Structure of Asset Returns: An Empirical Investigation (2002)On the application of spectral filters in a Fourier option pricing technique (2015)General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options (2016)Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (2020)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)High-order compact finite difference scheme for option pricing in stochastic volatility models (2012)A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (2015)The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks (2015)Ruin Probabilities (2000)On the time to ruin for Erlang(2) risk processes (2001)Risk modelling with the mixed Erlang distribution (2010)A Two-Dimensional Risk Model with Proportional Reinsurance (2011)Stochastic Processes in Queueing Theory (1976)Finite time ruin problems for the Erlang(2) risk model (2009)Financial Modelling with Jump Processes (2003)On the Heston Model with Stochastic Interest Rates (2011)Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets (2018)Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models (2005)On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model (2009)
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References

  • 1998On the Time Value of Ruin786 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 2000The moments of the time of ruin, the surplus before ruin, and the deficit at ruin157 cited
  • 2012Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options124 cited
  • 2007On the Class of Erlang Mixtures with Risk Theoretic Applications102 cited
  • 2005The Density of the Time to Ruin in the Classical Poisson Risk Model94 cited
  • 2013Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions89 cited
  • 2008On the ruin time distribution for a Sparre Andersen process with exponential claim sizes62 cited
  • 2003On the Density and Moments of the Time of Ruin with Exponential Claims56 cited
  • 2011Joint densities involving the time to ruin in the Sparre Andersen risk model under exponential assumptions38 cited
  • 2013Nonparametric estimate of the ruin probability in a pure-jump Lévy risk model34 cited
  • 2015Fourier-cosine method for Gerber–Shiu functions33 cited
  • 2014Fourier-cosine method for ruin probabilities33 cited

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  • 2005The density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claims33 cited
  • 2014Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation29 cited
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