Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique. [PDF]
Multivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability of ruin is obtained not only by considering initial reserves u but also the severity of ruin y and the surplus before ruin x.
Usábel, Miguel A.
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Generalization of the effective Wiener-Ikehara theorem [PDF]
, 2013 International audienceWe consider the classical Wiener–Ikehara Tauberian theorem, with a generalized condition of slow decrease and some additional poles on the boundary of convergence of the Laplace transform.
Roton, Anne de +2 more
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Differential Equations with Infinitely Many Derivatives and the Borel Transform
, 2016 Differential equations with infinitely many derivatives, sometimes also referred to as “nonlocal” differential equations, appear frequently in branches of modern physics such as string theory, gravitation and cosmology.
Prado, Humberto +6 more
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Coupon Bond Valuation with a Non-Affine Discount Yield Model [PDF]
I report a closed form for the Laplace transform of the Ahn Gao (RFS, 1999) discount function and show how this can be used for pricing non-zero coupon bond prices, including hybrid fixed/variable rate instruments.
Peter D Spencer
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Hedging error in Lévy models with a Fast Fourier Transform approach [PDF]
We measure, in terms of expectation and variance, the cost of hedging a contingent claim when the hedging portfolio is re-balanced at a discrete set of dates.
Marco Nicolosi, Flavio Angelini
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On the Theorem of Borel for Quasianalytic Classes
, 2013 We investigate the surjectivity of the Borel map in the quasianalytic setting for classes of ultradifferentiable functions defined in terms of the growth of the Fourier-Laplace transform.
Bonet, José, Meise, Reinhold
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One Dimensional Reduction of a Renewal Equation for a Measure-Valued Function of Time Describing Population Dynamics. [PDF]
Acta Appl Math, 2021 Franco E, Gyllenberg M, Diekmann O.
europepmc +1 more source
Multiplicative Laplace transform and its applications
, 2016 In this work, taking definitions and properties of Laplace transform in classical analysis as a basis, we give some basic definitions and properties of the multiplicative Laplace transform.
Ahmet Gokdogan +5 more
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Spectral Decomposition of Discrepancy Kernels on the Euclidean Ball, the Special Orthogonal Group, and the Grassmannian Manifold. [PDF]
Constr Approx, 2023 Dick J +3 more
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The Laplace transform of ln(t) (MathsCasts)
, 2013 Investigates the Laplace transform of the log ...
Stephen Bedding
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