Ruin Probabilities in Finite Time - Journal of Mathematical Finance

JMF > Vol.13 No.1, February 2023

Journal of Mathematical Finance

Volume 13, Issue 1 (February 2023)

ISSN Print: 2162-2434 ISSN Online: 2162-2442

Google-based Impact Factor: 0.87 Citations h5-index & Ranking

Ruin Probabilities in Finite Time ()

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DOI: 10.4236/jmf.2023.131004 129 Downloads 590 Views

Author(s)

Andrew P. Leung

Affiliation(s)

Melbourne, Australia.

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.

KEYWORDS

Reserves, Fourier Transform, Inverse Fourier Transform, Analytic Functions, Cauchy’s Theorem

Share and Cite:

Leung, A. (2023) Ruin Probabilities in Finite Time. Journal of Mathematical Finance, 13, 56-66. doi: 10.4236/jmf.2023.131004.

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