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Ruin Probabilities and Complex Analysis

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Submitted:

15 December 2021

Posted:

20 December 2021

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Abstract
This paper considers the solution of the equations for ruin probabilities in infinite continuous time. Using the Fourier Transform and certain results from the theory of complex functions, these solutions are obtained as com- plex integrals in a form which may be evaluated numerically by means of the inverse Fourier Transform. In addition the relationship between the re- sults obtained for the continuous time cases, and those in the literature, are compared. Closed form ruin probabilities for the heavy tailed distributions: mixed exponential; Gamma (including Erlang); Lognormal; Weillbull; and Pareto, are derived as a result (or computed to any degree of accuracy, and without the use of simulations).
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Subject: Computer Science and Mathematics  -   Probability and Statistics
Copyright: This open access article is published under a Creative Commons CC BY 4.0 license, which permit the free download, distribution, and reuse, provided that the author and preprint are cited in any reuse.
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