论文信息 - Numerical inversion of characteristic functions

Numerical inversion of characteristic functions

Abstract To anyone working with characteristic functions, or with Laplace transforms of a non-negative random variable, the three papers by Harald Bohman (1971, 1974, 1975) are invaluable. Numerical integration over an infinite interval is extraordinarily beset with pitfalls (vide Davis & Rabinowitz, 1975) and the publication of actual results achieved in actuarial fields is of great value.

Hilary L. Seal | H. Seal

[1] H. Bohman,et al. Studies in risk theory with numerical illustrations concerning distribution function and stop loss premiums. Part II , 1963 .

[2] Hilary L. Seal. Stochastic Theory of a Risk Business , 1969 .

[3] The numerical calculation of U(w, t), the probability of non-ruin in an interval (0, t) , 1974 .

[4] N. S. Skobli︠a︡,et al. Handbook of Numerical Inversion of Laplace Transforms , 1969 .

[5] Philip Rabinowitz,et al. Methods of Numerical Integration , 1985 .

[6] H. Bohman. Numerical inversions of characteristic functions , 1975 .

[7] William Squire,et al. Integration for engineers and scientists , 1970 .

[8] H. Seal. A note on the use of Laguerre polynomials in the inversion of Laplace transforms , 1975 .