Baidu
map

FOURIER-COSINE METHOD FOR FINITE-TIME GERBER-SHIU FUNCTIONS

Li, XL; Shi, YF; Yam, SCP; Yang, HL

Li, XL (corresponding author), Southern Univ Sci & Technol, Dept Math, Shenzhen 518055, Guangdong, Peoples R China.; Li, XL (corresponding author), Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Peoples R China.

SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2021; 43 (3): B650

Abstract

In this article, we provide the first systematic numerical study on, via the popular Fourier-cosine (COS) method, finite-time Gerber-Shiu functions wi......

Full Text Link


Baidu
map
Baidu
map
Baidu
map