TITLE:
Ruin Probabilities in Finite Time
AUTHORS:
Andrew P. Leung
KEYWORDS:
Reserves, Fourier Transform, Inverse Fourier Transform, Analytic Functions, Cauchy’s Theorem
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.13 No.1,
February
15,
2023
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.