We derive an expression for the density of the time to ruin in the classical risk model by inverting its Laplace transform. We then apply the result when the individual claim amount distribution is a mixed Erlang distribution, and show how finite time ruin probabilities can be calculated in this case.

Suppose that the differences between the successive letter values of a continuous symmetric distribution form a geometric progression. Under very simple regularity assumptions it is shown that the distribution is uniquely determined. As an application, a statistic based only on the letter values is constructed for testing the hypothesis that a data set is drawn from any given, completely specif...

This paper studies a Laplace operator on semi-discrete surfaces. A semidiscrete surface is represented by a mapping into three-dimensional Euclidean space possessing one discrete and one continuous variable. It can be seen as a limit case of a quadrilateral mesh, or as a semi-discretization of a smooth surface. Laplace operators on both smooth and discrete surfaces have been an object of intere...

In recommendation systems, probabilistic matrix factorization (PMF) is a state-of-the-art collaborative filtering method by determining the latent features to represent users and items. However, two major issues limiting the usefulness of PMF are the sparsity problem and long-tail distribution. Sparsity refers to the situation that the observed rating data are sparse, which results in that only...

In this paper, we provide Laplace transform-based analytical solutions to pricing problems of various occupation-time-related derivatives such as step options, corridor options, and quantile options under Kou’s double exponential jump diffusion model. These transforms can be inverted numerically via the Euler Laplace inversion algorithm, and the numerical results illustrate that our pricing met...

Continuous-time quantum walk (CTQW) on a given graph is investigated by using the techniques of the spectral analysis and inverse Laplace transform of the Stieltjes function (Stieltjes transform of the spectral distribution) associated with the graph. It is shown that, the probability amplitude of observing the CTQW at a given site at time t is related to the inverse Laplace transformation of t...

Assuming absolute continuity of marginals, we give the distribution for sums of dependent random variables from some class of Archimedean copulas and the marginal distribution functions of all order statistics.We use conditional independence structure of random variables from this class of Archimedean copulas and Laplace transform. Additionally, we present an application of our results to VaR e...

this article is devoted to study of the autoconvolution equations and generalized mittag-leffler functions. these types of equations are given in terms of the laplace transform convolution of a function with itself. we state new classes of the autoconvolution equations of the first kind and show that the generalized mittag-leffler functions are solutions of these types of equations. in view of ...

For a given two-dimensional image, we define the horizontal and vertical increments at a pixel location to be the difference between the intensity values at that pixel and at the neighboring pixels to the right and above, respectively. For a typical image, it makes intuitive sense that the increments will usually be near zero, corresponding to areas of smooth variation in image intensity, but w...