title: Approximation of the ruin probability using the scaled Laplace transform inversion.
abstract: The problem of recovering the ruin probability in the classical risk model based on the scaled Laplace transform inversion is studied. It is shown how to overcome the problem of evaluating the ruin probability at large values of an initial surplus process. Comparisons of proposed approximations with the ones based on the Laplace transform inversions using a fixed Talbot algorithm as well as on the ones using the Trefethen-Weideman-Schmelzer and maximum entropy methods are presented via a simulation study.
authors.affiliation: Department of Statistics, West Virginia University, P.O. Box 6330, Morgantown, WV 26506, USA; Biostatistics and Epidemiology Branch, Health Effects Laboratory Division, National Institute for Occupational Safety and Health, Morgantown, WV 26505, USA.
authors.forename: Robert M
authors.initials: RM
authors.lastname: Mnatsakanov
authors.affiliation: Biostatistics and Epidemiology Branch, Health Effects Laboratory Division, National Institute for Occupational Safety and Health, Morgantown, WV 26505, USA.
authors.forename: Khachatur
authors.initials: K
authors.lastname: Sarkisian
authors.affiliation: PTC Inc., 41 West Otterman Street, Greensburg, PA 15601, USA.
authors.forename: Artak
authors.initials: A
authors.lastname: Hakobyan
keywords: Classical risk model; Laplace transform inversion; Moment-recovered approximation; Ruin probability; Uniform rate of approximation