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Ruin Probabilities in Finite Time
Melbourne, Australia
- 1 Melbourne, Australia
Journal of Mathematical Finance·Volume 13 (2023)·Pages 56–66·Published 18 January 2023·DOI10.4236/jmf.2023.131004
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Abstract
This paper considers the solution of the equations for ruin probabilities in finite time. Using the Fourier Transform and certain results from the theory of complex functions, these solutions are obtained as complex integrals in a form which may be evaluated numerically by means of the inverse Fourier Transform.
KeywordsReservesFourier TransformInverse Fourier TransformAnalytic FunctionsCauchy’s Theorem
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