On the Padé and Laguerre–Tricomi–Weeks moments based approximations of the scale function w and of the optimal dividends barrier for spectrally negative Lévy risk processes
This paper considers the Brownian perturbed Cramé r&ndash Lundberg risk model with a dividends barrier. We study various types of Padé approximations and Laguerre expansions to compute or approximate the scale function that is necessary to optimize the dividends barrier. We experiment also with a heavy-tailed claim distribution for which we apply the so-called &ldquo shifted&rdquo Padé approximation.
