Approximation of the ruin probability using the scaled Laplace transform inversion

摘要

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.