Approximation methods for piecewise deterministic Markov processes and their costs
Peter Kritzer, Gunther Leobacher, Michaela Szölgyenyi and Stefan Thonhauser
| Year of publication: |
2019
|
|---|---|
| Authors: | Kritzer, Peter ; Leobacher, Gunther ; Szölgyenyi, Michaela ; Thonhauser, Stefan |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2019.2019, 4, p. 308-335
|
| Subject: | dividend maximisation | phase-type approximations | piecewise deterministic Markov process | quasi-Monte Carlo methods | Risk theory | Markov-Kette | Markov chain | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Dividende | Dividend | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2018.1560357 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194953